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Two Oscar-winning method actors undergo startling transformations in new movies. In “Lincoln,” Irishman Daniel Day-Lewis embraces the beard and voice of America’s 16th president. In “This Must Be the Place,” American Sean Penn dons the mussed wig and lipstick of a goth rocker retired in Ireland. Both performances are worth watching, but Penn’s is like watching the slow-motion wreck of a circus train.

He plays a character called Cheyenne, who scored some hit records in the ’80s and has remained in a state of arrested development ever since. The shy, androgynous rocker retreated from the spotlight after two young fans committed suicide to his music. Now he lives in an Irish mansion with Dublin firefighter Jane (Frances McDormand), with whom he plays handball in the drained swimming pool.

He is also a mentor/matchmaker to a gloomy local teen (Eve Hewson, daughter of Bono) whose relationship to Cheyenne is among the many things that are hard to decode in this deadpan comedy.

Cheyenne is forced to leave his comfort zone when he learns that his estranged father is dying in New York. After the funeral, Cheyenne discovers that the old man had devoted his life to tracking down the Nazi who had humiliated him during the war. With some inspiration from fellow musician David Byrne (who wrote the soundtrack and lent the movie its title), Cheyenne embarks on a kind of art project to find the aging war criminal — and his own true identity. Thus the whispering weirdo roams across the heartland in face powder and a feathered hoodie, expecting to blend in.

“This Must Be the Place” was written and directed by an Italian named Paolo Sorrentino (“Il Divo”), who has the unfortunate European tendency to view rural America as a freak show. He also doesn’t seem to have a map. Cheyenne is insufferably vague, yet like an opium dream, the script continually moves him forward until rewarding him with a breakthrough — and a makeover — he hasn’t earned.

Penn has created a colorful tour guide, but in “This Must Be the Place,” there’s no there there.

What “This Must Be the Place” • Two and a half stars out of four • Rating R • Run time 1:58 • Content Strong language, some sexuality and brief disturbing images • Where Tivoli

Joe Williams is the film critic for the St. Louis Post-Dispatch.