Preheat oven to 400°F/200°C.

Add the rhubarb to a shallow baking dish and toss with the sugar and nutmeg to coat. Arrange in a single layer.Cover with foil and bake for 15 minutes.

While the rhubarb is cooking, in a medium saucepan, stir together the milk and sugar over medium heat and bring to a simmer.

While the milk is coming to a simmer, add the eggs to a mixing bowl and whisk in the cornstarch until smooth. Slowly whisk 1/3 cup of the hot milk into the egg mixture until smooth. This will temper the eggs and stop them from curdling or cooking.

Pour the egg and milk mix back into the pan with the milk and whisk over low heat until thickened.

Once the custard has thickened, remove from the heat. Stir in the vanilla and mix until well incorporated.

Divide the rhubarb between 4 shallow bowls. Pour over the custard and serve immediately.