For Pensam, the strategy was aimed at achieving high yields on relatively short-term investments, and those returns are simply not available any more, explains the DKK 130 billion (EUR 17.4)  pension provider’s Benny Buchardt Andersen, who's a member of the pension fund's executive management.

"We did quite a few deals after the financial crisis when the banks were not active in the market, and we sourced loans which today are redeemed," he said.

"There are still some construction projects currently underway where we have provided mezzanine finance, but those buildings are otherwise being financed by banks, and when our debt converts to equity, we will sell these assets and not reinvest in this sector," he said.

Among its peers in Europe, PenSam was an early mover in real estate lending, after starting providing financing for property developments in Denmark in 2011.

It developed its own model of property loan financing, which it called the Blue Ocean model.

This involved taking an equity stake in construction projects which allowed it to take over the asset if the developer had to pull out.

"We had a demand-supply situation then which meant it was to our advantage to give loans in the past, but these days competition is increasing and we’re not getting the return we used to be able to get," Buchardt Andersen said.

"We don’t get the double digit returns from it any more, so we are working on our private equity investments these days instead," he said.