I've recently bought a Fulton umbrella from John lewis. It's supposed to be wind proof and quite sturdy. I haven't used it yet but it's small and compact and fits easily in my bag without taken up loads of room. It's had a few good reviews as well.
I'm going shopping with DD this weekend, I'll look in Costco and if they don't have anything (they're very much Get It While You Can) but they'll have the A/W in now, I'll order from JL. (I like the windproof one, that's the worst of brollies when they turn themselves inside out)
Look into the Senz umbrella, I have the original model for years now. They're engineered to withstand storms and I can attest that they're pretty much indestructable and crucially don't turn themselves inside out.
They're pricey but I haven't had to buy a new umbrella since and the unusual design keeps me drier than a traditional umbrella.They do a compact foldable version which is also good but withstands slightly less but in all honesty the speeds at which it can withstand are not the type of weather you'd stay outside for long anyhow.
I was going to say Costco. I'm not sure what the brand is but mine is black and cream striped. It's automatic opening and closing and was about £10. It's the only one I've not managed to break or lose.