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I assumed it was the mass, but there are more massive metals gold or even osmium or iridium. I have wondered before why the depleted uranium is popular for antitank rounds. So assuming you have maximized the velocity you can impart to a bullet of a given size, the more massive you can make it the more kinetic energy it will carry, and the farther it will go / harder it will hit.
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That said if you can be accurate at any range and are limited by distance, a more massive bullet can travel farther that a less massive bullet of the same shape etc.
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I suspect what limits very long distance sniper bullets is not the velocity or energy of the bullet, but accuracy.
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