This paper investigates the risk measure and return impacts of eight financialized commodities. We compare VaR accuracy between unhedged commodity and hedged commodity. Using GARCH(1,1) VaR estimate, we find that hedged commodities have less percentage of VaR violations over unhedged commodities. We also examine how the VaR accuracy affects daily return. We find that the magnitude of VaR accuracy is lower in hedged commodities. Overall, hedging in commodity markets improves VaR accuracy but has lower impact of the return. Therefore, we can conclude that a hedged commodity has better risk measurement and rewards lower return for the accuracy of risk measurement. This is another risk and return postulate in the financialized commodity markets.