Giving feedback is not the same as holding an annual performance review. It's true that honest feedback is an essential ingredient of a formal review process, but the benefits of feedback occur when feedback is an ongoing process, not a one-shot deal. Your goal is to create a relationship with your employees that allows you to give honest feedback about behavior and performance without putting them on the defensive. Timing is critical. You should give feedback regularly, at the moment it is needed, when development opportunities arise, and when an employee needs to modify behavior to improve performance.
To succeed as a leader, you must learn to give effective feedback to your subordinates.