If you mean whether today's winter clothes retain more heat for the same amount (weight) of clothing, then the answer is in almost all cases "yes." While the insulation properties of down are still only rarely beaten by synthetic insulation, and down has been used in clothing for hundreds if not thousands of years (albeit not nearly as widely as it is used today), lightweight insulation is much more common and the shell materials available today can be much lighter.

As an example, typical winter clothing for a Finnish farmer some 100 years ago would've consisted of wool or cotton flannel underwear, wool jumper, and thick jacket and pants from wool serge or similar cloth (and, of course, hat, mittens, and boots). If more warmth was needed - say, if the farmer was driving a sled and didn't move much - he might have blankets and furs as well. The serge jacket and pants together could weigh two to three kilograms when dry (based on my own weighing of similar clothes), and more if wet. Today, everyone can buy a similar or better heat insulation layer that weighs less than a kilogram, and often doesn't retain much moisture even if it gets wet. You can also get winter clothes with down insulation or quite adequate synthetic substitutes from just about any outdoors store, whereas hundred years ago in the Western countries such clothing, if available at all, tended to be specially made for polar explorers and the like. So in theory at least, modern winter clothing tends to be lighter (and usually insulates better), therefore better insulation can be worn for the same weight or volume, and therefore winter clothes today are in theory warmer than they were before synthetic materials became widely available.

However, things get more complicated if we begin to look at clothing that's worn for similar purposes, and if we begin to account for the fact that people acclimatised to cold don't need as much clothing to stay comfortable. Here is a very interesting article outlining the tests performed on a replica of 1920s tailor-made mountaineering clothing, based on originals recovered in 1999 from the body of George Mallory, who died on the Mount Everest in 1924. The outcome was that when worn properly, and when properly fitted, the clothes were generally just as good as the modern high-end mountaineering clothes, and in some cases, such as boots, the old items were significantly lighter. That's what being tailor-made permits (among other things); I wouldn't be surprised if tailor-made mountaineering clothing using modern materials would be lighter still, but the difference might not be huge. That said, the clothing Mallory was wearing wouldn't been available to a common farmer, and he wouldn't have dared to use so expensive clothes for outdoors work even if someone donated a set.

The major downside of most lightweight modern clothing is that they are simply not nearly as durable as the traditional materials. Compared to materials like wool serge, wear resistance of most lightweight synthetics is poor or very poor, and they are often even flammable - a major issue if the main source of heat is open fire. The modern lightweight winter clothes are generally unsuitable for similar winter work people did back then, even though they are adequate for someone who can afford to be careful outdoors. Furthermore, if used properly, old school clothing can be surprisingly warm and useful: there are other reasons beside being financially strapped why wool serge clothing was phased out from the Finnish army for example only in about 2010 - and that was also because the stocks were running out.

I've also listed the recommended kit for Finnish 1942 long range winter patrol here. The items of clothing mentioned were quite similar to what they would've been in 1917, and my own measurements suggest that the weight of those items would not have been much more than what I carried in equivalent tasks in about 2000. Even though my gear was mostly synthetic, it couldn't be lightweight, because that would've meant the items wouldn't have been durable enough for military use.

Finally, what needs to be taken account is that people who are used to working outdoors even when it's cold don't need as much clothing to stay comfortable. An office dweller like me, heading to the woods directly from a heated apartment, couldn't hope to stay warm enough with little more than a set of thick wool clothes and a blanket (I've tested), yet that's the set my grandfather used for months on end when prospecting for the forestry companies back in late 1940s.