One of the best ways to understand documentary films is to analyze them. Rent or buy a DVD (or VHS) copy and plan to spend a few hours with each film. Have a pad of paper and a pen handy, or split your computer screen so that you can see the film and type notes at the same time. You'll need to be able to see a time counter in the frame.
First, pay attention to the title. What does it set you up to anticipate? Next, make note of how long the film is. As a very rough guide, divide the total number of minutes by four. In films that employ three-act dramatic structure (or simply follow its rhythms), it's likely that in many cases—but by no means all—the end of the first quarter will roughly correspond to the end of the first act. The end of the third quarter will roughly correspond to the end of the second act. The end of the fourth quarter, or shortly before it, is the end of your third act, with the remaining film time spent (briefly) on resolution. (It's rarely this simple, but I find that it offers a good benchmark for beginning to map the structure.) As you watch, pay attention to casting: Who comes on screen, what role do they play in the film? Pay attention to when you're confused, and see if or when the filmmaker answers your confusion. Also note where and how you feel tension or concern for the characters or situation, and whether (or how) that tension is resolved.
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