The neat thing about velocity is, when using an expanding projectile, the greater its impact velocity, the more likely it is to expand more or fragment, in most cases actually reducing penetration. The reason why the .357magnum using a 125gr JHP @ 1200-1400fps is the combination by which all others are judges is entirely due to the balance of projectile weight, construction, and velocity causing a wound of optimum depth and energy deposit. .357sig does an excellent job of replicating the performance of that landmark load.
Penetration is not proportional to velocity only, it is proportional to the momentum (Mass X Velocity) divided by the surface area of the projectile (which increases with velocity when using expanding projectiles).