Simmer 1 cup of coconut water, 2 cinnamon sticks, and ¾ teaspoon of ground nutmeg in a small saucepan for 20 minutes. Fine strain and let cool.
Blend the spiced coconut water with 1 cup of white rum, 1 can of cream of coconut, 1 can of sweetened condensed milk, and 1 can of evaporated milk on high for 1-2 minutes, until lightly frothy.
Bottle and refrigerate for at least 4 hours. Shake each serving without ice, strain into a glass, and garnish with ground cinnamon.
