Step 1Heat the oven to 400 degrees.
Step 2Wash the beets under running water, removing any sand. Trim the greens from the beets, leaving 1 inch of the stems. Do not trim the root end.
Step 3Place the beets on a jellyroll pan. Spray the beets with nonstick olive oil spray. Cover the beets with foil and roast 30 minutes. Uncover and continue roasting until fork-tender, 15 to 20 minutes.
Step 4Remove the beets from the oven and let them stand just until cool enough to handle. Cut off the stems and peel or scrape off the beet skins. Quarter the beets if they're small or cut into sixths or eighths if large. Place in a bowl.
Step 5Combine the vinegar, water, sugar, beet horseradish, shallots, salt and pepper. Pour the vinaigrette over the beets. Cover and refrigerate overnight.