Peel the beetroot and slice into 2cm thick rounds. Place on the baking sheet and drizzle with olive oil, and season with salt and pepper. Bake on 175 degrees celsius for 25 minutes, turn the beetroot slices, and bake a further 25 minutes.
Place the pastry sheet on a lined baking sheet, spread with horseradish, and lay the beet slices in a single layer in the centre of the pastry, leaving a 5cm border.
Top the beets with slices of the pepper cheese. I used 4 slices.
Fold the edges over the top of the beets and cheese.
Lightly whisk the egg with a splash of water, and brush over the pastry.
Bake in a 175c oven for 30 minutes or until golden brown.