Yes, they do these days. Heat pumps have a specification called the Coefficient Of Performance or COP. Any given heat pump model will list its range of COP at different temperatures, sometimes in the form of a chart. As the outside temperature drops, the COP declines. At some specific temperature it will be down to 1 or equal to electric resistance heat. Above that temperature, the heat pump will show an energy savings. As the outside temperature increases the COP will rise providing increasing efficiency over resistance heat.
Rheem, the brand I am most familiar with, lists a COP range of approximately 2.2 to 2.8 at 15F for their top of the line products. In other words, their heat pumps are more than twice as efficient as straight electric heat even down at 15F.
It should be noted that a single stage heat pump properly sized for cooling will not provide enough heat to heat the house by itself at low temperatures. Supplemental heat in some form will be required. However, it is practical to size a two stage heat pump for heating, since it can run on low when used for cooling. That is the setup we have. We heat three ways, passive solar when the sun is shining, wood stove or heat pump at other times. We prefer the wood stove, of course.