The best (for efficiency, for emissions, for engine longevity) is most likely to be the spec and grade the maker currently recommends for your engine. Sometimes that is different from the oil they recommended at the time of manufacture.
Any other oil is an experiment. Your car, out of warranty… you can experiment.
A lot of the 0W40 oils are simply a way of basically having a 0W30 or 5W30 bypass the fuel economy standards. Many of these meet European specifications which are more stringent than US spec for synthetic oils and are not really much thicker in tests than a 5W30. Again, they are basically bypassing US oil standards for European cars that require oils with greater anti-wear additives than US oils run. I would run a 0W40 in the engine in question long before I would consider a 10W30, especially in cooler climates.
I have run these oils myself and prefer the Mobil 1 0W40 from Wal-Mart. This oil meets the Mercedes, VW/Audi, etc. light duty Diesel standards which are way more stringent. This oil is also half the price of any other oil meeting these specs when bought in the 5 quart jug.
You may lose a few MPG when compared to a 5W20 or 0W20 but doubt it will do any harm to this engine. If the engine DOES use some oil, the anti-wear additives may shorten the life of certain emissions components such as the oxygen sensors and cat. That is why the EPA doesn’t want them in US spec cars. This is a workaround for European makes when you want to keep your warranty coverage.
Waterbuff, take my word when I say “I DO KNOW” the long term effects. 
And, decreased gas mileage DOESN’T bother me.
Let’s see a show of hands that think I should drain the 0W40 and add a 5W30?
(WRR<~~~Not raising his hand 
)
BTW, the oil filter I’m currently using is a M1. No opinions on it NOT being a Motorcraft?
Thank You for all of the opinions, advice, and criticism. I really do enjoy knowing what others think in the mechanical world. I have been wrenching, building, and racing for over 38 years, and I learn something new every day!
You seem to be saying you’ve been using it long term and withheld this bit of info at the start of this thread… for what reason?
And does the omitted info include 0w40 MPG effects?
I vote for you to leave it as is. The 0W40 is a very fine oil and not much different than a 5W30. You may lose a few mpg if you even notice. You may also shorten the life of the emissions system but not by enough to be concerned unless you are burning a noticeable amount of oil.
Now if you had put a 15W50 synthetic in I would be telling you to park this thing and drain it ASAP!
How? I’m serious, knowing something like this would take 100,000+ miles on multiple vehicles.
If you’re going to use a different spec than Ford recommends, I’d be more concerned about deviating by 5 from the second oil spec number than the first. The first only applies as the engine is warming up, and you can baby the engine during that short period if it concerns you.
I am only speaking for the Mobil 1 0W40 but the viscosity of this oil is basically the same as a 5W30 but towards the thicker end of the range. The same holds true for the high mileage oils. They are usually towards the thicker end of their range as well.
Anti-wear additives are enhanced. This is a good thing because it protects your engine better. This is a bad thing because it will foul your emissions system sooner than it would otherwise be contaminated if US spec oil was used. I wouldn’t even worry about this unless the engine in question is a significant oil burner.
Try to find some data on the oil you are using. See how the viscosity compares to that of a 5W30.
I did a lot of research on the 0W40 before using it, and afterwards. A few friends of mine have been using it exclusively in their newer 5.4’s with no problems. And, these modular engines “supposedly need” a thinner oil for their cam synchros. I have yet to see any of them being replaced, or making any noise. I even have a cousin with a 2012 F-150 EcoBoost using M1 0W40. His engine has 210K miles on it and has been using 0W40 since about 40K miles. And, he changes it every 7.5K miles. He also does a UOA to BLACKSTONE every 3rd OCI. Also, my engine doesn’t leak, or burn any oil.