Nico-that has been my experience with 270 Win, 30-30 and 308. The heavier weight bullets will carry energy out a little farther, and they are constucted for deeper penetration, all else being equal.
My hunting buddy got kind of grossed out when I jumped a white tail at 80 yards and shot it in the side of the head. One of the few times I was using factory ammo-winchester white box with 150 grain softpoints. Blew the off side of the deer's head clean off! I take great caution in those kinds of shots, as it can wound but not kill if you are a bit off. One thing about it though-if the brain pan is empty, they aren't going anywhere!