Whisk egg white in a medium bowl until frothy. Mix in cashews until coated. Let soak for 30 minutes.
Preheat oven to 250 degrees F (120 degrees C). Line a baking sheet with aluminum foil.
Combine sugar, cumin, salt, and cayenne pepper in a small bowl. Pour over cashews and toss to coat. Spread cashews on the prepared baking sheet.
Bake in the preheated oven, stirring halfway through, until fragrant, about 40 minutes. Reduce oven temperature to 200 degrees F (93 degrees C). Continue baking, stirring every 20 minutes, until cashews look dry, 30 to 40 minutes.
Transfer cashews to a container and let cool, shaking or stirring occasionally to prevent them from sticking together.