Leave root and 1 inch of stem on beets. Scrub with a brush.
Wrap beets in foil. Bake at 400° for 1 hour or until tender. Cool beets to room temperature.
Peel and cut each beet into 8 wedges.
Combine juice, vinegar, sugar, and star anise in a small saucepan; bring to a boil.Cook until reduced to 1/3 cup (about 10 minutes). Discard star anise.
Combine beets, vinegar mixture, salt, and pepper. Toss well.