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In this study, we analyze the dependence of hedging effectiveness on the realization of spot return by introducing the concept of a quantile hedge ratio. We estimate quantile hedge ratios for 20 different commodities at 15 quantiles. For daily data, we find that the quantile hedge ratio varies with the spot return distribution, displaying an inverted-U relationship such that the quantile hedge ratios are generally smaller at the upper and lower tails of the spot distribution. The severity of these characteristics differs across commodities. However, for weekly and fourweekly data, these characteristics are less prominent. Thus, the conventional hedge ratio would be appropriate for longer horizons, but not for shorter horizons.