Are you meaning thermally or structurally?
I lived in an adobe or cob house with winters -30C and below for several years, and visited/stayed in many others, and could write an essay on design features that do or don't help with warmth, but cob v brick, no discernible difference. Structurally, keep the drip line well away from the wall, and make sure water/melt can't pool within that line either. I suspect that high rainfall is more of an issue.
But normal cob will have r-values of around r-0.5 per inch. Or, a 12" thick cob wall would have an r-value of around r-6.
In cold climates cob will be a terrible performer at keeping you warm, by itself, without additional insulation.
It has lots of mass, which can work for you or against you, but very little insulation.
One problem is that a lot of people have thrown numbers around that are wild exaggerations for the r-value for cob.
For example, I have seen the figure of r-30 for a 12" cob wall. Wildly unrealistic is all I can say.
By comparison, a normal house with 3 1/2" of fiberglass insulation will have r-12 for the fiberglass itself, and about r-9 for the whole wall assembly. I still consider this horrible and wasteful for any cold climate. I'm shooting for r-50 in the walls, and r-60 or better in the ceiling.
It's a beautiful day in this neighborhood - Fred Rogers. Tiny ad:
Permaculture Voices 1, 2 and 3 - all 117 hours of video!