Step 1: Preheat oven to 400 degrees F. Toss beats with 2 tablespoons oil in a 13 x 9 inch baking dish; season with salt. Add thyme and 1/4 cup water. Cover with foil and roast beets until a paring knife slips easily through flesh (60-75 minutes). Let cool slightly, hen rub skins from beets with paper towels, cut into 1 inch pieces. Toss in a large bowl with vinegar and 2 tablespoons oil; season with salt.
Step 2: Meanwhile place peppers on one side of a rimmed baking sheet and pecans on the other side and roast, tossing nuts once, until papers start to blister and pecans are slighted darkened and fragrant (6-8 minutes). Let cool and then coarsely chop.
Step 3: Toss peppers, pecans, and onion with beets; season with salt. Drizzle whittle oil and top with pecorino.
Step 4: ***beets can be roasted 3 days ahead; covered and chilled.
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