Place beets, wine, water, olive oil, thyme and rosemary in a baking dish. Season with salt and pepper then cover in foil. Place in a 400 degree oven for approx. 45 minutes or until the beets can be pierced but are not soft or squishy.
While hot, carefully peel the beet with a towel (the skin should come off with ease). Use a paring knife to remove any remaining skin. Let beets cool for 20 minutes or so, then refrigerate.
Once cold, uniformly small dice each beet and set aside. In a food processor add the beets, shallot, parsley, capers, dijon, mayo, and sherry vinegar. Pulse until all ingredients have come together and texture is that of a chunky, spreadable paste. Finish seasoning with kosher salt, and feel free to add more vinegar or dijon if desired. A squeeze of lemon juice and/or lemon zest. Serve with crostini.