Whenever I am riding my horse either in water or on land and I am either bumped off (by water) or if I dismount the horse teleports to a random place.  We aren't sure where he goes but it's not in my immediate vicinity.  It isn't dead or missing as we can teleport it back to my player or another player every time.  

He's a named horse and it happened both before and after putting armor on him (I don't think that matters)  It has happened in survival and in creative on the realm. 

It's been happening routinely for the past few days.  I have not tested this out on other horses.  I can do so if you want me to.