Preheat oven to 350°.
To prepare tenderloin, heat a large nonstick skillet coated with cooking spray over medium-high heat. Combine sage, pepper, garlic, and salt; rub over tenderloin. Add tenderloin to pan; cook 6 minutes, lightly browning on all sides.
Insert a meat thermometer into thickest portion of tenderloin. Cover handle of pan with foil. Bake at 350° for 25 minutes or until thermometer registers 140° (medium-rare) or desired degree of doneness. Place tenderloin on a cutting board; cover loosely with foil. Let stand 15 minutes. (Temperature of tenderloin will increase 5° upon standing.)
To prepare sauce, heat pan coated with cooking spray over medium-high heat. Add shallots; sauté 3 minutes or until tender. Stir in wine. Bring to a boil; cook until reduced to 3/4 cup (about 4 minutes). Stir in broth; cook until reduced to 1 1/4 cups (about 6 minutes). Add butter, stirring until melted. Stir in parsley and 1/4 teaspoon salt. Serve with tenderloin.