Ensure the beef tenderloin is at room temperature (set it out of the fridge for about 30 minutes).
Tie the beef in 3 or 4 places to ensure it's a uniform thickness throughout. It may be possible to buy a beef tenderloin from your butcher that's already tied.
Combine the red wine, balsamic vinegar, olive oil, garlic, shallots, brown sugar, Worcestershire sauce, horseradish, dijon mustard, thyme, rosemary, salt and pepper in a large container or baking dish (for marinating), and whisk everything together with a fork or a whisk to combine.
Place the beef tenderloin in the marinade and coat it well in the marinade.
Cover and refrigerate for 2 to 6 hours, turning the beef in the marinade once during that time.
Preheat your oven to 425 degrees Fahrenheit and prepare a small roasting dish (without a rack) by greasing it with some butter or cooking spray.
Remove the beef from the marinade and place it into the prepared dish, drizzling a few tablespoons of the marinade over the beef.
Place the beef in the oven and roast at 425 degrees Fahrenheit for about 30-40 minutes, or until it reaches at internal temperature of 63 degrees Celsius for Medium Rare.
Let the beef rest, covered with some aluminum foil, for about 10 minutes before slicing and serving with my Best Ever Horseradish Sauce.