Use a 3/8” bit, drill in the centre, then buy and easy out bit, it’s reverse threaded and will bite into the anchor.
If you are not talking stuck anchor, I use a 20” bit that I’ve cut the head off and I use it in my hammer drill. If an anchor is being a nuisance, I’ve found one shot in either direction will loosen it. Brass is soft so it’s rare they won’t come out with some elbow grease or a hammer drill.