The documentary A FAMILY AFFAIR is one of those films I'm glad I watched but certainly wouldn't say I enjoyed it. Or liked it. In fact, I didn't like the subject — a grandmother, no less — one single bit.

Yet I couldn't stop watching this film by Danish documentarian Tom Fassaert, who filmed a fascinating attempt to figure out his grandmother, a famous model in the '50s. Primarily, Fassaert hoped to...