My wife hates purses, and managed to leave her wallet on the roof of the car, drove off, and was thenceforth unable to recover her wallet despite much searching. We found her a relatively small purse-like thing that slings across the neck and is light enough to have around all the time, yet fashionable enough not to stick out like a sore thumb.

The trick is to come up with a carrying device or whatever else that enables the process of making sure you've got all your stuff with you to become something you do without particularly thinking about it. This is possible with wallets and keys. I'm not convinced it's possible for occasional things like umbrellas.