There is a very special property of cashmere (and other animal fibres) that is so technologically advanced, that while us humans think ourselves amazing with our AI and fancy cars, it really puts us in the shade compared to Mother Nature.
Water (as a liquid) runs off fibres much like it runs off roofs: because the outside structure of the fibre is similar to roof tiles. It's scaly. But water vapour (as a gas) insinuates itself into the very structure of the hairs, slipping in between the scales. Have a look at this video by the Woolmark Company which shows the structure of a fibre.
Image: www.britishwool.org
Once inside the fibre, a temporary hydrogen bond attaches the water molecule to the surfaces of the inner structures. This adsorption is exothermic: it releases heat. So while it's cold, the wool heats up.
When it becomes warmer, desorption occurs where the water vapour is released. This process requires heat, so the cashmere cools down.
Cold weather = cashmere gets warmer, warm weather = cashmere gets cooler.