Answers

I agree - we would need to know more about the layout of your home to provide an answer. Some questions for you:

1. Is your bedroom above a garage or below an attic (as Marian noted below)?
2. How far from the furnace/heat pump source is the bedroom?  The further the conditioned air travels the harder it is for it to maintain its original temperature, particularly through metal.
3. Assuming your ducts are metal, are they lined or wrapped at all? It isn't likely that they are as it isn't standard construction practice to do so. Wrapping is something you may want to consider if you can get to the ducts without tearing into walls/ceiling.
4. It would help to know what part of the country you are in.  Heat pumps work best in moderate climates. If you are in an area that gets quite cold you may need to supplement your system. 

I hope you enjoy your new home and I look forward to hearing more about your issue.

Need a little more information before could answer. Is the master bedroom 1st floor or is it higher? (2nd floor +). Is the attic directly above the room? How many and what type/size windows are in room?

Generally, insulation factors (at attic/windows) are a reason for why a room is colder or hotter - especially on 2nd or 3rd floors.) This can be a different issue than a heat pump issue.