from what i've heard the .416's ruger,taylor, rigby, remington... penetrate better then the .458 win mag, but the win mag has more knockdown power and stopping power because it can fire heavier bullets. The .416 has slightly smaller diameter making it easier to penetrate anything. The .458 win mag was originally designed to be the only gun you'd need for any animal on earth in any situation, however early safari guys found out that it has lack of penetration because the powder did not allow the 500 grain bullet to reach 2,150 feet per second which was considered the "golden mark" to kill any animal on Earth. This is why the .458 lott was invented which pushes a .458 500 grain bullet at 2200-2300fps so slightly greater than the win mag... some argue if it's really necessary. Hornady's superformance makes a good win mag load that gets up to it's 2,150 fps golden mark.
IN general the rule of thumb is such that the larger diameter the bullet the harder it will be to penetrate... all else being equal. So therefore a .458 win mag 400 grain load @2350fps and a .416 ruger load @ 2350fps with both the SAME EXACT bullets the .416 ruger will penetrate further.. this is common sense of course
