When most people think about cordless drills, they think about 18v or 14.4v drills. Those are the most widely made cordless tools and they will cover most tasks. But there's another class of cordless drivers that perform more demanding tasks. These would be 24 volt and 36 volt cordless drills. These higher voltage drills provide more torque and more run-time.
A good 18 volt cordless driver will drill holes and drive screws into the toughest wood. There are even 18 volt hammer drills. You can make a few holes into cinder block and possibly even small holes into concrete. But if you want to drill larger holes into concrete or drill lots of masonry holes, then you're going to need something more. There's only so much power you can cram into an 18 volt battery. A 24 volt battery will allow both more energy storage and more power to flow at once. A 36 volt battery allows even more.
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For example, the Milwaukee V28 line, which is actually a 28 volt system, provides 600 inch pounds of torque. Hilti 36 volt drills provide even more. This isn't quite the same amount of torque you can get from a corded hammer drill, but it's close. It's enough to do almost any task a hammer drill will do. The Hilti products are very expensive, some over 00. But as with most things, you get what you pay for.
That means there are cheaper drills as well. For example, Black and Decker makes a 24v cordless drill. But a good quality 18 volt driver will perform better than a budget 24 volt drill. However, it will also cost more as well.
So if you're looking for more power and want to pick up a 24V or 36V cordless drill then make sure you check the specifications to make sure it actually has more battery capacity and torque. And also make sure you buy from a quality manufacturer.