One of my favorite tractors was the old Oil Pull's which were designed for oil in the radiator. (they were a gas engine, but designed to run on "tractor fuel" which is closer to diesel than gasoline - in order to work the engine had to be very hot)
Rate of heat transfer in general if probably more important.
There are various figures of merit, such as the Mouromtseff number https://doi.org/10.1109/JRPROC.1942.234654 or https://www.electronics-cooling.com/2006/05/comparing-heat-t... for a quick overview.
Some tables of heat transfer coefficients: https://www.engineersedge.com/heat_transfer/convective_heat_...
But, turns out water is just very very good also when you take these other factors into account. Compared to oil, it has, as mentioned, much higher specific heat, it has higher heat conductivity, it has lower viscosity which means less pumping power and more likely to see turbulent flow which helps with mixing.