In a sauce pan over medium heat, combine the red wine, agave nectar, apple cider, orange liqueur, orange slices, cloves, cinnamon sticks, and cayenne pepper.
Stir occasionally, and once the mix reaches a simmer, lower the heat to medium-low. Allow the mulled wine to simmer for 30 minutes over medium-low.
Remove the mulled wine from the heat and strain the wine to remove the oranges, cloves, and cinnamons sticks.
Serve the mulled wine. Garnish with star anise, orange slices and cinnamon sticks.