Gross Fixed Capital Formation (GFCF), which may be used as proxy for private investment, is available in the International Financial Statistics (IFS) database.

GFCF is measured by the total value of a producer's acquisitions, less disposals of fixed assets during the accounting period, plus certain additions to value of nonproduced assets (such as subsoil assets or major improvements in quantity, quality, or productivity of land).  

The IFS dataset is located here.