In a saute pan over medium heat, toast star anise, cinnamon stick (break into 2 or 3 pieces), whole cloves and fennel seeds. Toast until fragrant and put spices into a mesh tea strainer or wrapped in cheesecloth.
Peel the mandarin orange and place the orange peels into the mesh tea strainer or cheesecloth along with the spices.
In a pot, combine apple juice, ground allspice, brown sugar, cranberries, mandarin orange sections and the mesh tea strainer filled with spices and orange peels and bring to a boil. Reduce to a simmer and cook until the berries pop open and become more sauce like in appearance. Transfer to a bowl and chill in the fridge for several hours. Once chilled, the sauce will thicken. Serve.