Morgan Stanley sees just a 2.2 percent return with 3.5 percent volatility in coming years, not a happy portfolio.

Those numbers may actually look good to the large number of investors and pension funds who, stung by the great financial crisis, loaded up on government bonds.

"As 10-year Treasuries fell to 1.6 percent in 2008 and stocks got liquidated in the financial crisis, two five-standard-deviation events conspired to elevate bond investments in popularity and thrust bond portfolio managers into god-like status," William Smead of Smead Capital Management in Seattle wrote to clients.

The ride down in interest rates hasn't necessarily been that painful for those with heavy bond allocations, but it won't take much of a rise in rates for the pain to become intense. Andrew Haldane of the Bank of England, citing a long list of sources, in July asserted that rates are now as low as they have been since at least 3000 B.C.

"We think a good rule of thumb is to avoid portfolio success stories created by five-standard-deviation events. They only happen 2.5 percent of the time," Smead wrote.

There are strategies that one can adopt to mitigate the difficulties implied by higher rates beyond just owning fewer government bonds. Morgan Stanley likes credit as an asset class, at least next year, expecting 2 to 4 percent loss-adjusted returns. Not great, but beats losing money in Treasuries or suffering volatility in equities.

Smead, for his part, posits that if rates go back to their traditional 3 to 6 percent range then it will likely be as a result of economic growth which could benefit sectors like consumer goods, or help financials which would dearly like to see a steeper yield curve.

However it plays out, 2016 won't be much like the past five years, and will very likely be a good bit more difficult for investors.

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