In a rain storm the rain does not fall vertically downwards due to the strong wind. Instead it falls at an angle. The best position to hold a strong umbrella would be against the direction of the wind. This would provide maximum protection against the rain. If the umbrella is held in any other direction you would not be protected against the rain.
Holding the umbrella in the direction of the wind would get you wet and the force of the wind will push the umbrella out of your hand. Holding the umbrella in a direction perpendicular to the wind will also lead to the creation of an aerodynamic force due to the shape of the umbrella that will push the umbrella away from you.