Stress induced martensitic transformation in Cu-10Al-5Zn-5Mn [wt.%] shape memory alloy (SMA) was investigated in situ by neutron diffraction technique. The SMA specimen was deformed step by step at room temperature and neutron diffraction spectra were recorded during the temporary stops. The analysis of the neutron diffraction profiles gathered along the reversible sigma-epsilon curve yields accurate bulk information on the structural changes associated with the martensitic transformations and elastic lattice strains. It is shown that, in spite of the almost complete reverse transformation from the martensite to the austenite phase upon unloading, the crystal lattice of the austenite phase becomes slightly distorted compared to the virgin state following just a single pseudoelastic cycle. It is suggested that this slight oriented distortion assists the stress induced martensitic transformation in successive tensile load cycles. It can play an important role in functional fatigue of SMA's and two-way shape memory effect.