I never really cared much for penetration tests... it is true that breaking through bones is important if you want to stop and animal from running, but when hunting and going for vital shots, most animals just aren't that tough.
Take two buckets, fill them with fine sand, and shoot one with a bow and one with a .30-06. What is the result? That the bullet from the 06 will get stuck in the sand and the arrow will go through the bucket. An arrow penetrates better than any bullet ever will, but it doesn't drop an animal quickly. The reason that bullets drop animals is because of energy expansion upon resistance from the hide and flesh. Getting hit in the heart with a 250grn bullet from a .44mag is going to kill anything that walks the face of this fine earth. It is true that there are extreme cases (elephants) where more weight and speed is necessary to carry this bullet to the heart, but these as said before are extreme cases. If I shoot a brown bear in the vitals with a .454 or a .500 without hitting large bones, the bullet is going to end up in the same place, out the other side. If I hit him in the shoulder with the same two, it will break his shoulder very well, limit his movement, and kill him a little more slowly, but still kill him.
There are different actions by these bullets which can give them distinct advantages.
Large caliber bullets carry more energy (inertia) than smaller grain bullets, which means it takes more resistance to slow it down. That more resistance comes with the larger size, energy transfered, damage done.
Smaller caliber faster moving bullets slow more quickly because they dont carry as much inertia when hitting a relatively motionless target, and therefore have a very fast expansion of energy, causing damage and killing animal.
Due to these characteristics there really won't be a huge difference in the penetration of the bullet. The faster bullet is going to do more damage upon impact, and the slower will have a more even energy transfer.
It is pretty east to figure out though, if you take a gun like the .460Mag, you can have a heavy bullet going really fast, meaning lots of energy, more energy transfered, and more damage to the target.