In a small pan over medium heat, add 2 tablespoons of the butter and let it melt. Add the minced shallot and cook gently until soft and translucent, without browning.
Once the shallots are done, remove the pan from the heat. Add the remaining butter cubes directly to the pan and stir gently, letting the residual heat melt the butter slowly until glossy. Set aside to cool slightly.
In a small bowl, whisk together the egg yolk, Dijon mustard, Worcestershire sauce, and lemon juice until smooth.
Transfer the yolk mixture to a blender or food processor. Add the basil, tarragon, sage, chervil, anchovies, and capers. Blend until completely smooth and very thick, like a mayonnaise.
With the blender running on low, slowly add the butter and shallot mixture in three additions, blending well between each addition until fully incorporated and silky.
Add the warm beef broth and blend briefly just until combined.
Season with salt, black pepper, and a pinch of nutmeg. Blend once more to combine.
Taste and adjust seasoning as needed. The sauce should be creamy, glossy, smooth, and spoonable.
Serve immediately over sliced steak or entrecôte, ideally with fries.