We study the thermal properties of a bulk \(\hbox {Ni}_{55}\hbox {Fe}_{19}\hbox {Ga}_{26}\) Heusler alloy in a conduction calorimeter. At slow heating and cooling rates ( \(\sim {1}\,\hbox {K h}^{-1}\) ), we compare as-cast and annealed samples. We report a smaller thermal hysteresis after the thermal treatment due to the stabilization of the 14 M modulated structure in the martensite phase. In ultraslow experiments ( \({40}\,\hbox {mK h}^{-1}\) ), we detect and analyze the calorimetric avalanches associated with the direct and reverse martensitic transformation from cubic to 14 M phase. This reveals a distribution of events characterized by a power law with exponential cutoff \(p(u)\propto u^{-\varepsilon }\exp (-u/\xi )\) where \(\varepsilon \sim 2\) and damping energies \(\xi ={370}{\upmu {\rm J}}\) (direct) and \(\xi ={27}{\upmu {\rm J}}\) (reverse) that characterize the asymmetry of the transformation.