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You should cut back the foliage and stems of perennial plants at the end of their growing season while they are dormant. Pruning can help reduce maintenance problems for the following year as well as lessen the chance of over wintering pests and diseases. Some perennials should be cut back purely for aesthetic reasons, since they can detract rather than add to the look of a winter garden.
Be careful that you don't cut back too close to the crown which can cause some plants to become damaged over the winter. Leave 2-3 inches of the stem above ground.