With “The Lost Daughter,” director Maggie Gyllenhaal wears melancholy like a second skin. One of her generation’s most underrated actors, she moves through her films with a flicker of otherworldly woe; an organic ability that has routinely been informing the highlights of her filmography to date, from the erotically manic “Secretary,” to the gritty “Sherrybaby,” and more recently, the wistful thriller, “The Kindergarten Teacher.” In other words, Gyllenhaal has always possessed an auteurial sway over the films she was in, putting on them her signature ethereal stamp.
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