Absolutely right. Lee Jurras, founder of super Vel ammo, demonstrated that very well back in the early 70's. Starting with the .38 special which most cops then carried, he loaded lighter 110 bullets at higher velocities and proved to police departments all over the country that his Super Vel ammo would penetrate auto bodies and glass much more effectively than the standard 158 grain loads.VELOCITY is what penetrates steel. The weight of the bullet is secondary. You would be better off with a lighter bullet at higher velocity.
Back in the days of the .38 Special being used by police officers just such a load was developed.... the 38-44. Ballistics were a 158 gr metal capped bullet at almost 1,200 f.p.s.
BE AWARE that a lower velocity FMJ bullet that does not completely penetrate steel can come back to bite you!