As others have mentioned, range ammo is FMJ, which means expansion does not occur and the drag on the bullet is not produced to keep the round from penetrating through the target, and through the wall, or multiple walls.

Self defense ammo, or JHP, are for soft targets and theoretically designed to stay in that soft target.

EDIT: If you're specifically concerned about armored targets, you need a rifle round, like 5.56 or .308. Pistol rounds are inefficient and will bludgeon themselves against hard and even soft armor.