We report perpendicular magnetic anisotropy (PMA) in the half-metallic ferromagnetic Heusler alloy Co2Fe0.4Mn0.6Si (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 KU=1.5×106 erg/cm3 for tCFMS=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.