As your cob has a choice, he is opting to stay out - so he can obviously cope with the weather.
We have just had a lot of snow, and driving winds, and six of my Dales and Fell ponies are out unrugged - much to the horror of my neighbouring horse owners at the livery yard, who have heavily rugged warmbloods, who all disappeared into stables at the first sign of snow. My herd just tucked in under the wall. They do have big hairy coats, long manes, and very long tails, which must help.