While we very rarely have temperatures below -20C in Denmark, i have yet to experience a "drop" in performance from it. Granted, it becomes a lot noisier in very low temperatures, but it "does the job".
I'll add that this being an older house (1970s) we have "other issues" that causes heat loss, so we usually run the log burner for supplementary heat during those few days of -20C. The heat pump can keep the house warm, but you can feel the cold "pushing in" from walls and windows (dual pane).
Sadly the heat pump has also kinda voided all attempts to renovate for saving energy. Our yearly heat cost (heating and warm water) is around €750, and adding insulation would cost around €3500, for a potential saving of around 10-20%, so a total of 20-30 years to earn itself back again.
