Preheat oven to 350°.
Heat an ovenproof skillet over medium-high heat.
Rub tenderloin with oil; sprinkle with salt and pepper. Cook tenderloin in skillet for 2 to 3 minutes per side or until browned. Transfer skillet to oven. Bake for 15 to 20 minutes or until a thermometer inserted in the thickest part of the tenderloin registers 135° or desired degree of doneness.
Remove tenderloin from skillet, and place on a cutting board. Allow meat to rest for 15 minutes before cutting into 6 equal portions.
In a medium saucepan, combine Madeira and shallot. Cook over medium-high heat, stirring frequently, for 10 minutes or until Madeira has reduced to approximately 1/4 cup. Reduce heat to low. Add butter, stirring to melt. Serve sauce with tenderloin.