Here's a good read.

This has some darn good information, and it says momentum, more than KE, should be the term described by archers to talk about penetration.

KE is all of the arrows energy; sound energy, momentum, rotational energy, etc. Whereas momentum is the arrows FORWARD movement and its resistance to change direction. (mass x velocity)

bigcountry is actually right to an extent, although I'd be he doesnt understand quite why..

The article says, "Given two arrows, identical in shaft and broadhead materials and profile, and having EQUAL momentum, but possessing UNEQUAL mass, the arrow deriving the greater portion of its momentum from its mass will penetrate better. The Laws of Physics requires this to be true, and ALL of my field test data validates this to be the case."

http://www.tradgang.com/ashby/Momentum%20Kinetic%20Energy%20and%20Arrow%20Penetr ation.htm