I'm no botanist but in my experience annual plants generally sprout, grow, bloom then die once frost nips them when the weather turns cold. Perennials on the other hand send up new growth in spring, bloom during their annual growth cycle, then go dormant once frost nips them when the weather turns cold. They return from year to year and repeat the process.

Pennisetum is an ornamental grass commonly referred to as fountain grass. There are several cultivars. 'Hameln' is a perennial cultivar. ' Red Bunny Tails' is an annual cultivar that may perform as a perennial in Z7 - see the link below for more information. It would likely be an annual in my Z6 garden.

Here is a link that might be useful: Pennisetum messiacum