  We report perpendicular magnetic anisotropy (PMA) in the half-metallic
ferromagnetic Heusler alloy Co$_2$Fe$_{0.4}$Mn$_{0.6}$Si (CFMS) in a
MgO/CFMS/Pd trilayer stack. PMA is found for CFMS thicknesses between 1 and 2
nm, with a magnetic anisotropy energy density of $K_U = 1.5\times 10^6$
erg/cm$^3$ for t$_{\tiny \textrm{CFMS}} = 1.5$ nm. Both the MgO and Pd layer
are necessary to induce the PMA. We measure a tunable anomalous Hall effect,
where its sign and magnitude vary with both the CFMS and Pd thickness.
