A deeply odd film, it is a struggle to work out exactly who the audience for W.E. is supposed to be – unless it’s Madonna herself. If you don’t happen to be Madonna, you are likely to find it fundamentally unsatisfying. A strange attempt to blend King’s Speech style costume drama with The Hours and Drop Dead Fred, it doesn’t reach the high points of any.

The film flits between the stories of Wallis Simpson (Andrea Riseborough), the American divorcee for whom King Edward VIII (James D’Arcy) gave up the throne of England, and Wally Winthrop (Abbie Cornish), unhappily married in the present day to a wealthy shrink (Richard Coyle). Wally is named after Wallis, and is obsessed with her story, spending hours hanging around the Sotheby’s exhibition of her soon-to-be-auctioned personal effects.

Madonna not only directed the film (and quite competently, actually, though perhaps a bit heavy on the homages); she also co-wrote it, with Alek Keshinian (director of the Madonna documentary In Bed with Madonna). And it’s the screenplay that’s the problem. It contains a fairly high level of bemoaning the difficult lives of the wealthy and privileged – much is made of Wallis’ sacrifice of privacy for her Royal affair, being endlessly pursued by the press, to the point that you feel Madonna is bringing her personal baggage to the table. Which does feel like a bit of an overstatement; they may have married in a castle, but Guy Ritchie was hardly royalty.

We are left to consider to what extent the historical sections are intended as a ‘true’ story (in the way that The King’s Speech, say, is presented as a ‘true’ story) and to what extent they are Wally’s fantasy versions; this is particularly pertinent in a party sequence which sees Wallis and her society chums dance with The Sex Pistols on the soundtrack. Is Wally adding her own preferred soundtrack to her image of what Wallis’ life might have been like? Or is the scene there because Madonna has seen Sofia Coppolla’s Marie Antoinette and thought, I’ll try that?

The major difficulty with the dual storyline is that Wally is not particularly interesting. We know she has a fascination with Wallis and is in a crappy marriage, but that seems to be about all there is to her. Attempts to draw parallels between their lives are pretty superficial, so her sense of connection is never convincing. At the end, as Wally tells Wallis she no longer needs her, I had to stifle laughter. It felt as emotionally true as an episode of Ghost Whisperer.

The film is generally well acted and put together, but the shallow screenplay dooms it. It’s not the cataclysmically dire film some reports have claimed, but it never feels like much more than a vanity project.