In a medium sauce pan, add cranberries, sugar, rum, vanilla, cinnamon, and water.
Bring cranberry mixture to a low boil. Reduce heat and partially cover the top of the sauce pan. Lightly simmer for 15 minutes, stirring at the halfway point. Cranberry skins will pop and begin to form a sauce.
Turn off the heat and allow the sauce to cool before transferring to a storage container. Cover and chill for 1 ½ - 2 hours. The sauce will thicken as it cools.
The sauce can be made up to 2 weeks in advance and stored in a sealed container in the fridge