We report on a new functional property in an AF martensitic Heusler Ni50Mn45In5, which when annealed at high temperatures under a magnetic field, segregates and forms Ni50Mn25In25 Heusler precipitates embedded in a Ni50Mn50 matrix. The precipitates are paramagnetic whereas the matrix is antiferromagnetic. However, the spins at the interface with the Ni50Mn50 matrix align with the field during their nucleation and growth and become strongly pinned in the direction of the applied field during annealing, whereas the core spins become paramagnetic. This shell-ferromagnetism persists up to 600 K and is so strongly pinned that the remanent magnetization remains unchanged, even when the field is reversed or when the temperature is cycled between low temperatures and close to the annealing temperature.