A novel, inexpensive calorimetry system is described for the analysis of the specific heat anomalies of shape memory effect (SME) alloys cycled through the martensitic transformation. By loading the sample on heating through the martensitic to austenitic transformation and unloading on cooling through the reverse transformation, a typical SME heat engine cycle is simulated. Analysis of the specific‐heat anomalies from these simulations gives a direct measure of the thermal efficiencies of the SME alloy. The requirements of externally stressing the sample as well as a changing sample shape produced heat losses which were difficult to estimate. An algorithm is described which estimates the combined heat losses by thermal base‐line subtraction. Measurements of the specific heats and enthalpies of transformation for heating and cooling through the transformations are presented, from which the thermal efficiencies were calculated.