Lithium batteries are purported to be better in the cold than alkaline batteries. But, my experience is that they still show quite a bit of voltage drop. I see that in the LiFeS2 batteries we use in the Kestrel (ie, the Energizer), and in Li-ion batteries for my professional cameras. I've seen my Kestrel go from 100% to 37% on a cold day... and then be right back up at 100% the next day, after warming back up.
Lithium batteries also have a relatively flat discharge curve, which means that they maintain a pretty constant voltage through their life - until they don't. That can make it hard for electronics to predict how much battery life is left (they do that by monitoring the voltage being output by the battery - if the voltage is always the same, the device thinks the battery is about the same charge for a long time).