I haven’t had a shelter for mine at any yard or in any field - ever. I rug as needed and they use hedges/trees as appropriate. One TB (now 22, been living out without a shelter most of her life), plus a variety of natives. Rug check/change once a day, aiming towards keeping dry rather than adding too much warmth and extra feed if cold. I don’t clip in winter beyond bib/belly and buy new rugs as needed, so they are always completely waterproof and never leak. They stand up to weeks of heavy rain if needed.
The last time I had to do major rugs was in the really cold winter - 2010 I think - when it was minus something silly. TB had a duvet on under a heavy weight with neck it was that cold!! Natives had…nothing and when it snowed it didn’t even melt on their backs! Gave them rain sheets in the end so they could keep dry when they laid down, then had to whip them off as soon as the snow melted before they over heated!
I do buy fly rugs too…so they get a break from the flies that way.