With considerable chutzpah and elan, and in her capacity as producer and UNHCR Goodwill ambassador, Cate Blanchett has achieved a geopolitical film-making coup. In concert with festival authorities in Rotterdam, she has secured cash and commissioned short films on the subject of displacement from five directors – including Mohammad Rasoulof, now in exile from his native Iran due to his pro-democracy activism, in effect making his first public statement since the recent massacres and apparently expressing his fears that he may never go home again.

The films are far from solemnly earnest – this is an anthology of five brilliant miniature artworks. By turns shocking, funny, confessional and deeply mysterious, this is a tremendous collection; the constituent films of which benefit in some enigmatic way from being shown together. What Ealing Studios’s Dead of Night did for scariness, these films may have done for 21st-century exile.

Ukrainian film-maker Maryna Er Gorbach shows us, in her film Rotation, a young Ukrainian woman eerily alone in a wheat field shot in saturated colour, answering questions from a disembodied voice about her former life in uniform. A flashback gives us a sense of her experience in combat, displaced from her civilian existence into the stress and fear of warfare. Then, in the present tense, she appears to succumb to a disturbing, apocalyptic vision.

Super Afghan Gym by director Shahrbanoo Sadat is a very likable comedy about women of all ages who gather semi-surreptitiously in a Kabul gym to hang out and work out – rather like Nell Dunn’s stage-play Steaming (later filmed by Joseph Losey). It is inspired by the director’s own experience of pumping iron in Kabul; bizarrely surrounded by photos of hugely stacked near-naked guys, these fully clothed women exercise earnestly, some by hoisting toddlers up and down, the way the guys do with weights (no question of steroids here). They talk about the way women don’t feel at home in their own bodies.

The horror of war in Syria and the subsequent ordeal of boredom in a refugee hotel in London is the subject of Allies in Exile, by the Syrian directors Hasan Kattan and Fadi Al-Halabi; juxtaposing footage shot on iPhone in the hotel, which at one stage is surrounded by anti-refugee protesters, with terrifying footage shot years before in the ruins of Aleppo. The film focuses on the poignant friendship between Kattan and Al-Halabi (also the camera operator), whose own personal loss is all but unbearable.

Perhaps the most purely mysterious is Somali-Austrian film-maker Mo Harawe’s Whispers of a Burning Scent. A young keyboard-player in a Mogadishu wedding band is arrested for fraud, for marrying a 75-year-old woman with dementia and selling some of her property. But is he the predatory villain he seems? And what happened to the money?

Finally there is Rasoulof’s Sense of Water, an agonising account of an exiled Iranian writer in Germany (which may or may not be where Rasoulof is himself based), who falls in love with his translator and fellow Iranian expat. He cannot come to terms with what it means to become fluent in German and possibly lose his Farsi. Will he translate himself out of existence?

The films all bristle with intensity and life – each has the ambition and accomplishment of a feature. They are a collective hit for this festival.