Look for the most efficient heat pump. As I understand, the co-efficient of our heat pump is 2. (Geo-thermal is 4.) Electric heat is 100% efficient, wood up to 75%, gas heat up to 70%.
So for resistive heating (where electric tops out at 100%), it's likely that a home furnace is converting more of the fuel into heat in the home than the combination of the power plant and electric heater.
An easy gut check for this is how much cheaper natural gas is to heat with than resistive electric. As a sibling comment says, a heat pump really improves the numbers for electric.
Alternatively, if you go by the relative price of electricity compared to natural gas, typically electricity has three times the price for the same amount of energy. In that case, you would need a heat pump with a COP of >2.7 to make heating cheaper than using a gas burner.
Such heat pumps do exist now. The benefit is that if/when the electricity grid transitions to renewables, you are sorted.