Although this sauce has come to be associated with Cambridgeshire, there is evidence that its origin is Cambridge Massachusetts, USA, where it is used as a dressing for dry fish such as pike.
Original Receipt in the 'Guide to the Art of Modern Cookery ' by Auguste Escoffier (See: Escoffier);133 CAMBRIDGE SAUCE
Pound together the yolks of six hard-boiled eggs, the washed and dried fillets of four anchovies, a teaspoonful of capers, a dessertspoonful of chervil, tarragon, and chives, mixed. When the whole forms a fine paste, add one tablespoonful of mustard, one-fifth pint of oil, one tablespoonful of vinegar, and proceed as for a Mayonnaise. Season with a little cayenne; rub through tammy, applying pressure with a spoon, and put the sauce in a bowl. Stir it awhile with a whisk to smooth it, and finish with one teaspoonful of chopped parsley.
It is suited to cold meats in general; in fact, it is an Anglicised version of Vincent Sauce.