A sweatshirt combines the practicality of a jumper with the softness of fleece. They are ideal wear for exercise, hence the name. You can see that heritage in the sports logos that so often adorn sweatshirts.
While a sweatshirt is great for keeping you warm, the one thing it does not do is cut the wind. It's a natural consequence of being designed for exercise because it has to keep you warm without trapping sweat. Get your exercise.