I must admit, I knew nothing about the Barnes Foundation before I made the documentary "The Art of the Steal." It’s a private art gallery and school that houses one of the most breathtaking and important Post-Impressionist and early modern art collections in the world.

As I was soon to find out, it was much more than that.

The collection’s unrivaled holdings are staggering in quantity: 181 paintings by Renoir, 69 by Cézanne, 59 by Matisse and 46 by Picasso, including many masterpieces.

Dr. Albert Barnes was a self-made man with a well-trained eye who assembled the art in the early 1920s.

He snubbed the provincial elites in his hometown of Philadelphia by housing his collection in the Philadelphia...