While these big gains look played out, the strategist said that 2013's returns will largely come from the income on the bonds.
"This year, you'll earn your income and the default rate is going to stay low, and that's not going to be offset by a big increase in defaults," Rosenberg said.
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Defaults are below 2 percent and likely to remain low, since there's plenty of liquidity in the market to allow companies to roll over their loans and extend debt maturities, he said.
(Read More: Rising Bond Yields—This Is Just the Start)
"That's going to support the yield you are going to be able to achieve in the high yield asset class," he said. The low- to mid-single digit returns Rosenberg expects for high-yield bonds will come mainly from the income.
Municipal debt is also looking attractive, according to Rosenberg.
"What comes out of this 'fiscal cliff' debate is that the muni asset class comes out the best," he told CNBC. "Their tax deductibility looks more attractive in a higher tax world and the threat of losing that tax deductibility because of fundamental tax reform."