Mix all ingredients in a quart sized bowl and cover and refrigerate for 1 hour for flavors to meld.
To make things easier...place the shallot, capers, garlic, lemon juice, and Worcestershire sauce into a small food processor, like the Kitchen Aid one that I use, (affiliate link above the recipe card). Pulse 5 or 6 times to mince the vegetables. Mix with the remaining ingredients.
Notes
Use less horseradish if you are sensitive to spicy foods. Taste and adjust.
Substitute 1/4 cup of Heinz Chili sauce for 1/4 cup of the ketchup if desired.