Ah, but if everything is equal, ie no wind, rising terrain which favours neither direction etc, letting it turn GENTLY toward the DEAD engine results in less opposing rudder and less opposing aileron, so less drag = better rate of climb, possibly even better than straight ahead but only at small bank angles. Go somewhere safe at a safe weight on a still day where you can accurately measure rate of climb and try it for yourself, but keep the bank angles down to around 10 degrees; 15 degrees max.