Penélope Cruz will tell you she is not from another world.

Don't believe her.

Winner of an Oscar in the spring for her ball-of-fire performance as a bisexual, bipolar artist in Woody Allen's Vicky Cristina Barcelona, Cruz says that Audrey Hepburn and Marilyn Monroe - they were the creatures from beyond Earth's sphere.

"They had the talent and the magic and that beauty," says Cruz, who has a double feature - Pedro Almodóvar's Broken Embraces and the glitzy musical Nine - opening on Christmas Day. "They were like Martians, the two of them, they were like from another world."

When it is noted that many people - including Almodóvar, her frequent collaborator - say the same thing about her, she just scrunches her face and offers a dismissive, "Oh, please."

But it's impossible to watch Broken Embraces and not liken Cruz to Audrey and Marilyn - because Almodóvar and his leading lady very much want you to. In Broken Embraces, an homage to the screen sirens, Cruz plays two women: Magdalena, or Lena, the mistress of an older, powerful businessman, but also the lover of a star-crossed filmmaker. And she is Pina, the character in the movie-within-the-movie. There are scenes in this - it's called Girls and Suitcases, modeled on Almodóvar's breakthrough hit, Women on the Verge of a Nervous Breakdown - when Cruz looks eerily like Hepburn, sporting a Sabrina or a Funny Face 'do, her neck long and elegant, her smile delicate but beaming.

And then there are times in Broken Embraces when the Spanish actress oozes sex-symbol glamour and heat, a la Marilyn.

"We had seen everything that the two of them ever did, many times," says Cruz, who said that there was no need to sit down with her good friend Almodóvar and run through the Hepburn and Monroe catalogs again. They already knew them by heart.

"Yeah, I'm an expert on Audrey," she says, laughing. "I can tell you, like, every little thing she did, what she wore in every moment of her life."

(Her Hepburn favorites: Two for the Road and Love in the Afternoon.)

And Monroe?

"She was this ball of magic, and a very talented actress - but the magic sometimes overshadowed how talented she was."

If Broken Embraces, with its overlaying narratives and vibrant color palette, evokes Audrey and Marilyn, in Nine, Cruz is channeling the sex symbols of '50s and '60s Italian cinema: Gina Lollobrigida, Anna Magnani, Claudia Cardinale, Sophia Loren.

Adapted from the Broadway smash by Chicago director Rob Marshall, Nine stars Daniel Day-Lewis as a Fellini-like filmmaker (Guido Contini is his name) desperately trying to come up with a new idea for a movie that's only days from going into production. A parade of beautiful women struts and preens while he angsts around in search of inspiration. Cruz is Carla, his mistress - she sings, she sulks, she does a theatrical striptease number with a rope.

And while the real Loren also appears in Nine - as the Earth Mother of Italian cinema, and the mother of Day-Lewis' character, too - Cruz has a decidedly Loren-esque look about her. The fashion and film press, and the fans, have long been calling the Spanish actress "the new Sophia Loren." And here she is.

"It doesn't make sense to me," Cruz says about the comparisons. "Sophia is such an icon, somebody I grew up admiring so much. And now that I have had the privilege to meet her and work with her and spend time with her, I love her. She's such an amazing woman. . . .

"Sometimes I call her in Switzerland, at her home, and we talk, we have become friends. And she's very smart - she sees everything. She can walk into a room and there are a hundred people there, and she knows what every single person is about. She has a detector for good and bad things and can read people in an amazing way."

Lluís Homar, Cruz's costar in Broken Embraces - he's the troubled writer and director whose life is riddled with tragedy - says that Cruz's humilde, her humbleness, is for real.

"The truth is, she's like that," he says, in a separate interview. "But for me, it's like looking at Rita Hayworth - she has something that's like a gift from heaven. You can't learn this at school. You have it or you don't have it, and she has it. That's obvious.

"But what's nice is that she is humble. . . . She works very hard, she's very serious. It's easy to work with her. The combination of both - of this remarkable beauty and talent and charisma, and her humility - I think it makes her even more special."

Wearing a magenta jersey cardigan over a low-scooped blue-and-white-flowered dress, Cruz is in Toronto, where Broken Embraces had its North American premiere at the Toronto Film Festival in September. Although she appears smaller in person than you might expect, her eyes are big and expressive, and her high-pitched voice (her English still heavily accented) is full of emotion.

When she talks about the mood of Broken Embraces, you want to cry: "The melancholy tone, and that beautiful sadness, is part of the essence of the movie," she offers. "It's something that impregnates you when you read it in the script, and you know that Pedro is going to put it there in every frame."

And when she talks about the rigorous regimen of song and dance rehearsals that she and her Nine cohorts - Fergie, Kate Hudson, Nicole Kidman - had to undergo, you want to salute her for her industriousness:

"It was all about training and dancing for three hours every day, and then go for two hours of singing, and then go and do the scene," she reports. "There was this training process where everybody was sweating all day, and had ripped clothes from doing it. It was all about the work and great teamwork, because everybody knew that everybody else was scared - there was this amazing camaraderie, and everyone wanted to help each other."

Cruz, 35, has been seeing her Vicky Cristina costar and fellow Madrileño Javier Bardem for the last two years. People.com recently reported that the two might be engaged, and there are rumors that Cruz is pregnant, too.

But back in Toronto, holding court in a hotel lounge, Cruz was more keen on talking about another fellow in her life: a shiny gold dude named Oscar.

"It's in my house, but it travels," she says of the Academy Award statuette, which she won for supporting actress. "Sometimes it's in my house in America, because I have to show it to everyone I know, they all want to see it. And sometimes it's in my house in Spain."

So she carries it around?

"Sometimes. I took it to the beach one day," she says, smiling. "I mean, I don't take it everywhere. At the beginning, the first month, I took it everywhere with me. But, yes, I took it to the bea.ch. And I put it on a towel, in the shade, so it wouldn't get a sunburn."

Contact movie critic Steven Rea at 215-854-5629 or srea@phillynews.com. Read his blog, "On Movies Online," at http://www.philly.com/philly/blogs/onmovies/