I think the expansion of the round is only part of the problem. The water itself is incompressible, so the bullet has to waste a lot of force pushing it out of the way and loses kinetic energy quickly. A pointed rifle round probably would lose energy slower, just due to the aero... i mean hydrodynamic shape.
30 carbine and 45acp military ball. Penetrated a 1” thick layer of frozen cloth + 7 gallons of water.
http://www.theboxotruth.com/the-box-o-truth-36-frozen-clothing-and-the-box-o-truth/