Lead vs steel shot is apples vs oranages, not the same so not terribly compareable ... has to do with the way the transfer of energy is applied as well as molecular cohesion of lead vs steel.
However, heavy vs light arrows are also relative. I guess it deprends what you are hunting, also the mechanical advantage of your broad head .... always assuming you are getting optimum flight and the head is hunting sharp.
So, as a rule of thumb heavier arrows have more monentum or slug force than light, thus are harder to stop, thus have more penetration. I guess the medium of the target must be considered. If no large bones are encountered, an arrow in the mid 400 grains area moving at moderate trad speeds (if placed properly) will get - er done. If larger animals (more mass) and or less than perfect shot placement, heavier is better within reason.
So yes as a rule of thumb, heavier can be better. Lots of guys here do advocate for at least 10 grains per pound of draw like Orion mentioned. I love to shoot my bows with around 9 grains per pound of draw because it looks so cool with a real fast arrow. I hunt around 11 grains per pound of draw however. It likely is not necessary as I am hunting deer, but I never know if a hit will be marginal or not, so I hedge my bet with a heavyier arrow and high mechanical advantage 2 blade head.
Bob.