In a medium mixing bowl, whisk together egg white and water until foamy. Add cashews and toss to evenly coat. Pour cashews into a strainer and gently shake to allow excess egg white and water mixture to drain through for about 30 seconds. Pour cashews into a medium mixing bowl and set aside.
In a small mixing bowl, combine sugar, chili powder, cumin, salt and cayenne pepper and whisk until thoroughly combined. Add nuts to combined seasonings and toss with a large spoon until evenly and thoroughly coated.
Pour nuts onto a flat baking pan with sides and spread around to a single layer (no nuts should lie ontop of other nuts). Place in oven and bake for 40 minutes.
After the first 40 minutes of baking, remove nuts and stir with a spatula, spreading out again into a single layer. Return to oven and bake for 20-30 minutes longer, or until cashews appear dry.
Remove nuts from the oven and loosen the nuts with spatula, leaving them in the baking pan. (Tip: Nuts can easily be separated with the tines of a fork.) Allow to completely cool to room temperature (nuts will become crisp as they cool). Once completely cooled, serve or transfer to an airtight container and store at room temperature. Roasted cashews will stay fresh for up to 2 weeks.