IEnumerable periods = new string[] {\"ABC\", \"JKD\", \"223A\"}; var someData = from p in returns from d in p.ReturnDet
var someData = from p in returns from d in p.ReturnDet where p.Year > 2009 where periods.Contains(d.Period)
Use the Contains method.
var someData = from p in returns from d in p.ReturnDet where p.Year > 2009 where periods.Contains(d.Period);