Combine cranberries, sugar, cinnamon, and a nutmeg in an 8-inch square baking dish coated with cooking spray; cover tightly with foil. Bake at 350° for 30 minutes; uncover and stir gently. Bake, uncovered, an additional 15 minutes or until cranberries are tender and sauce is syrupy. Remove from oven; stir in rum. Cool to room temperature. Chill at least 1 hour before serving.