Summary: Within gauge/gravity duality, we study the class of four dimensional CFTs with chiral anomaly described by Einstein-Maxwell-Chern-Simons theory in five dimensions. In particular we determine the phase diagram at finite temperature, chemical potential and magnetic field. At high temperatures the solution is given by an electrically and magnetically charged AdS Reissner-Nordstroem black brane. For sufficiently large Chern-Simons coupling and at sufficiently low temperatures and small magnetic fields, we find a new phase with helical order, breaking translational invariance spontaneously. For the Chern-Simons couplings studied, the phase transition is second order with mean field exponents. Since the entropy density vanishes in the limit of zero temperature we are confident that this is the true ground state which is the holographic version of a chiral magnetic spiral.