All things being equil, the bullet with the higher S.D. will penetrate deeper!! That doesn't mean it has more "killing" power, it just means it will drive deeper into the target.

The problem is, as stubblejumper said, these days all things are NOT equil!!! The construction of a bullet makes all the difference on how it transmits it's energy to the target, and that's usually described as "killing power".

Drilling Man