I would recommend standing the board off from the wall on wood furring strips at least 1/2" thick. Attach the wood strips to the wall top and bottom using the self-tapping anchors or drilled in expansion anchors, then attach the pegboard to the wood strips using regular wood screws.

The slight offset from the wall will allow you to use various pegboard hooks without interference from the wall behind, and a gap for air circulation is never a bad idea anyway when placing wood products against brick or concrete.