Investors yearning higher yields while keeping a lid on risks have had a hard time of late. One investor says New Zealand debt may come to the rescue.

U.S. Treasurys have long been a safe haven asset, but a sharp plunge in yields has pushed investors to search elsewhere. Recent Treasury International Capital (TIC) data revealed foreign investors dumped nearly $33 billion dollars in U.S. paper for the third straight month in June, begging the question of where market players are setting their sights on next.

One of those markets could be New Zealand, according to Jeremy Sullivan, investment advisor at Hamilton Hindin Greene, a Christchurch-based firm that has $360 million in assets under management.

The country's 10-year government bond yield is around 2.15 percent and while that may not seem like much, it is still higher compared with the U.S. 10-year note's near-1.5 percent level. Sullivan says it's one of the best yields in the developed world.

"That interest rate differential compared with the rest of the world and their respective easing biases is still attractive," Sullivan told CNBC's Squawk Box.

New Zealand's creditworthiness is also robust. The country's sovereign debt is rated double-A by Standard & Poor's and Fitch Ratings, just a notch below the highest debt rating possible.