We construct the two dimensional N=(0,4) gauge theory that lives on the world volume of D1-branes and intersecting D5-branes. We conjecture that this theory flows in the infra-red to a fixed point with large N=(4,4) superconformal symmetry. The central charge of the conformal field theory is shown to coincide with the holographic dual of string theory compactified on AdS3 x S3 x S3 x S1.