It will lose all as in the entire coat is replaced, but usually in such a way that they are never naked. It always seem an awful lot of effort and waste to me :lol: especially when you see my hairy ponies who spend 2-4 months moulting their winter coats, only to start moulting their summer coat to grow a new one after a month or two!! But I guess alongside the temperature issue it also helps to keep their skin and coat healthy, by loosening off all the dead skin that builds up, and dust, that can't work it's way out through a dense coat.
Have you ever seen mouting chickens? They are hilarious. I read one that they have to regrow 40000 feathers with each moult!! At least they only do it once a year though.