Formato de un paquete Enhanced

1) To reveal the nature and significance of LPVs in the New Zealand investment market.

2) To explore the performance characteristics of New Zealand LPVs

3) To reveal any reward to risk benefits for investors by investing in LPTs or LPICs

4) To reveal any diversification benefits for investors by investing in either LPTs or LPICs

To achieve these overarching objectives the analysis involved a number of steps, which have been documented in this sub-section. However prior to undertaking any analysis, the return series data for each asset class was tested for normality: using the Kolmogorov-Smirnov test (refer to sub-section 3.5.1).

Objective 1: To reveal the nature and significance of LPVs in the New Zealand investment market

Step 1: The relevant literature was reviewed (sub-section 2.1.3) to reveal the nature of the New Zealand LPVs.

Step 2: The relevant literature was reviewed to determine the appropriate method and measures to use in order to reveal the significance of the New Zealand LPVs in the investment market.

Step 3: Market capitalisations, for the overall LPV sector and for two sub- sectors, namely the LPTs and the LPIC, were analysed to determine trends by comparing, firstly the contribution of the overall LPV asset class to the NZX and secondly the contribution of the LPTs and the LPICs to the overall LPV sector.

Step 4: The findings were fully discussed, interpreted and evaluated with reference to the literature. Their contribution to the body of knowledge was outlined in the conclusion.

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Objective 2: To explore the performance characteristics of New Zealand LPVs

Step 1: The literature was reviewed to determine which methods and measures were appropriate to explore the performance characteristics of LPVs.

Step 2: Excel software (Microsoft) was used, to create three new quarterly return series indices; for the LPV sector, the LPT sub-sector and the LPIC sub-sector. The study period was from the 31 December 1993 (base = 1000) to 30 September 2011.

Step 3: Existing gross (total) return benchmark indices for stocks, direct property and bonds were sourced and re-based using Excel software (Microsoft) to the 31 December 1993 (base = 1000).

Step 4: The six return series indices were used to explore the performance of New Zealand LPVs: comparative performance analysis was carried out which involved measuring the geometric returns, the risk, and the risk adjusted returns then ranking the performance of each asset class based on their computed Sharpe ratios. As the year for the indices was 1993:Q3 analysis begins in 1994:Q1 and finishes 2011:Q3. Step 5: Bivariate correlation analysis (parametric and non-parametric) was

used to explore the role of LPVs in a mixed asset portfolio and to determine whether LPTs and LPICs had performed differently over the study period.

Step 6: The findings were fully discussed, interpreted and evaluated with reference to the literature. Their contribution to the body of knowledge was outlined in the conclusion.

Objective 3: To reveal any reward-to-risk benefits for investors by investing in

either LPTs or LPICs

Step 1: The literature was reviewed to determine which reward-to-risk measures were appropriate to use in this study.

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Step 2: For each asset class the annual (geometric) mean and standard deviation (risk) was computed from the return series data using Excel software (Microsoft).

Step 3: The risk-adjusted returns for each asset class were computed (return- to-risk ratio and the Sharpe ratio) using Excel software (Microsoft). The excess return for the Sharpe measure was calculated using the best obtainable risk free rate (90 day bill rate).

Step 4: The asset classes were ranked based on their Sharpe measure to determine any diversification benefits.

Step 5: The findings were fully discussed, interpreted and evaluated with reference to the literature. Their contribution to the body of knowledge was outlined in the conclusion.

Objective 4: To reveal any diversification benefits for investors by investing in

either LPTs or LPICs

Step 1: Relevant literature was reviewed to determine the risk-reduction measure and level of significance that were appropriate to use in the study. The correlation coefficient was the measure used to examine the diversification benefits of combining two asset classes in a mixed asset class portfolio and the correlation was significant at the 0.05 level (p<0.05). The asset classes were: the LPV sector (LPVs), the LPTs, the LPICs, NZ stocks, NZ direct property, an NZ Government bonds. Step 2: SPSS software was used to produce bivariate inter-asset correlation

matrices for the six asset classes over the study period (1994:Q1 to 2011:Q3) and the three sub-periods. Both the Pearson’s method and the Spearman’s methods were used to compute the pair wise

coefficients: due to the normality of some of the return data samples being questionable, especially in the sub-periods with the small sample sizes.

Step 3: The pair wise coefficients were analysed to explore role of LPVs in a mixed asset portfolio, the diversification benefits, and hence provide

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further evidence as to the performance characteristics of the LPV sector and the two sub-sectors, namely the LPTs and the LPICs. Step 4: The findings were fully discussed, interpreted and evaluated with

reference to the literature. Their contribution to the body of knowledge was outlined in the conclusion.

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