Preheat oven to 200°C.
Season and seal the beef fillet in a hot, well-oiled pan until golden brown on all sides (about 2-3 minutes).
Place the beef on an oven tray and roast for 15 minutes, or to your liking (50°C internal temperature for medium-rare). Rest for 15 minutes, then allow to cool completely in fridge before slicing.
For the dressing, whisk together the mayonnaise, Worcestershire sauce and lemon juice and season to taste. Gradually whisk in the milk, adding just enough just so the mixture coats the back of a wooden spoon. Taste and adjust seasoning.
Slice the beef as thinly as possible and arrange on four plates.
In a bowl, mix the rocket, sliced eschalots, parmesan, parsley and baby capers with a splash of olive oil.
Drizzle the dressing across the beef, then top each plate with the salad.