Cumberland Sauce is an English sweet and sour sauce used as an accompaniment to savoury meals. It is traditionally served with cold meats, especially venison, pork, lamb or turkey.
Based on red currant jelly, it also has in it orange and lemon peel, orange and lemon juice, pepper, mustard, a dash of salt and port to thin the jelly down.
Some versions leave out the mustard. Some versions call for dry mustard powder; other more modern ones call for Dijon mustard.
For the citrus element, the food historian Alan Davidson admits only “blanched matchsticks of orange peel”, omitting the lemon and any citrus juice.
The ratio of red currant jelly to port varies wildly: at one end of the scale, red currant jelly is the dominant ingredient with just a bit of port used to thin it down. At the other end of the scale, you will see recipes calling for 200 ml (7 oz) of port with just 2 tablespoons of the jelly.
Some modern versions get quite elaborate; some even suggest you use guava jelly instead of the red currant, etc.
You can buy bottled versions.
Store homemade Cumberland Sauce in refrigerator in sealed container for up to 2 weeks.
Some say that the sauce is named after the Duke of Cumberland, brother of George IV and King of Hanover, but as he died in 1851 and the first written reference to the sauce by name wasn’t until 1904, this may be more a matter of trying to make a reason for the name after the fact.
More likely, it’s simply named after the Cumberland area in northern England.
Food historian Alan Davidson cites the research of Elizabeth David in “Spices, Salt and Aromatics in the English Kitchen” (1970) on this: “(a) there is a legend that it was named for the Duke of Cumberland who was brother of George IV; (b) the first reference to it by name was in a French book, Alfred Suzanne’s ‘La Cuisine Anglaise’, of 1904; (c) what was essentially the same recipe had been published by [Alexis] Soyer in 1853, but without the name; and (d) the famous chef Escoffier, who flourished in the Edwardian era, popularized the recipe given by Suzanne and was responsible for the commercial success of the sauce.” 
 Davidson, Alan. The Penguin Companion to Food. London: The Penguin Group, 2002. Page 281.
Cumberland Sauce in: Lang, Jennifer Harvey, ed. Larousse Gastronomique. New York: Crown Publishers. 1988. Page 349.