I use the 15W-40 diesel/marine oil in my mom's GMC pickup and it has been perfectly fine even in the winter. Being a "real" synthetic, it doesn't have any issues with thickening up in the cold, so I wouldn't worry about that. Having said that, however, check your owner's manual for their recommended viscosity. My JD990, as with many newer diesels, recommends a thinner oil and I use the series 3000 5W-30 in it. I think the general trend these days is towards using thinner oils.
Contrary to popular opinion, I personally don't believe you need a thick oil to protect a diesel's internals against combustion shock loads *IF* the engine has been properly designed to use a thinner oil (appropriate clearances, high flow rates, etc.). I think many newer engines are going that way. Besides, a good synthetic has much better film strength than an equivalent weight dino oil anyway, so the 5W-30 probably resists being "pounded out" of bearings as good as a 15W-40 dino oil.
Another thing to consider is that if your engine has been designed for a thinner oil, putting 15W-40 in it may actually be detrimental in that it may not achieve the flow rates that the engine designers had intended. Again, the best thing to do is use something close to what the manual recommends.
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