I also brood chicks outside using heat lamps when it is below freezing. I usually have about 20 straight from the incubator so about half your numbers. I almost never lose one and mine are just hatched, so fairly equivalent to what you have. I'd think it is probably something to do with your set-up or conditions. Five is a lot, especially after they survived shipping to the feed store. Some are essentially hatched with birth defects that can cause them to fail to thrive and die but five out of forty would be a pretty high coincidence if that is it.
Yours are about a week old. When did they start dying? How do they act? Do they just fall over and die with no warning or are they lethargic and not eating or drinking for a while? Knowing how they are acting before they die could give some pretty big clues or eliminate some things.
Some photos of your set-up could help. How big in feet or meters is your brooder? How are your lamps set up? How cold is it in the coolest parts of that brooder? How good is wind protection? Are you keeping the brooder dry? What waterers are you using, can they fall in and get soaked? Where are you finding the bodies in the brooder, spread out or all in the same spot? Have you examined the bodies for any wounds or marks? Checking for pasty butt is a good idea but don't stop there. Especially look for wounds on the head.
You say they are various breeds. Does that mean the ones that died are various breeds or is there some pattern? Are they all dual purpose full sized fowl or do you have bantams. Are some the fancy decorative breeds? Unless there is some pattern as to which have died this is probably not important but I'm searching for any clues.