This is a great mid-meal course for a festive dinner. It is refreshing and sets the stage for a more complicated dish to follow; plus, all the prep can be done well ahead of time, and the ingredients tossed together at the last minute.
For the vinaigrette, combine the anchovies, shallot, vinegar, lemon juice, and garlic in a blender. Pulse to begin the purée, then, with the machine running, add the olive oil in a slow, steady stream. Process until it is reduced to a fine purée with no chunks remaining.
Combine the fennel, orange segments, and pepper strips in a medium salad bowl and toss with the vinaigrette until thoroughly incorporated. Season with salt and garnish with a few gratings of nutmeg.