Angular dependent torque measurements were performed on single crystals of CeCoIn$_5$, a heavy fermion superconductor ($T_{c0}$ = 2.3 K), in the temperature, $T$, range 1.9 K $\leq T \leq $ 20 K and magnetic fields $H$ up to 14 T. A large paramagnetic effect is found in the normal state. Torque measurements in the mixed state were also performed. The torque curves show sharp hysteresis peaks at $\theta = 90^{o}$ ($\theta$ is the angle between $H$ and the $c-$axis of the crystal), a result of intrinsic pinning of vortices. The anisotropy $\gamma \equiv \sqrt{m_{c}/m_{a}}$ in the mixed state was determined from the reversible part of the vortex contribution to the torque signal using Kogan's model [Phys. Rev. B \textbf{38}, 7049 (1988)]. The anisotropy $\gamma$ decreases with increasing magnetic field and temperature. The fact that $\gamma$ is not a constant points towards a multiband scenario in this heavy fermion material.
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