Bill Gross' "best idea" right now is Mexican government debt securities, he told CNBC.
"It hasn't worked yet but it's only been underway for about a week or two," the portfolio manager of the Janus Global Unconstrained Bond Fund said in an interview with CNBC's "Power Lunch."
Right now, Mexico has 7 percent nominal interest rates and 3 percent real interest rates, the bond king noted.
And while Mexican inflation is higher than the U.S., that is adjusted for inflation-linked bonds, known as linkers, he explained. A 10-year Mexican linker is at 3 percent, and the 10-year U.S. Treasury inflation-protected security, which provides protection against inflation, is at 0.5 percent.
"There's a 2.5 percent spread between those two and believe me the quality difference doesn't justify it," Gross said.
Last month, he acknowledged his bet against the German bund market was well-timed but not necessarily well-executed. He had called the trade "the short of a lifetime."
The Janus Global Unconstrained Bond Fund is down about 2 percent since Gross took over in October. Total assets in the fund at the end of May were $1.5 billion, with about $11.7 million in estimated net outflows for the month, according to Morningstar.
Meanwhile, Gross also warned about a liquidity crisis once central banks around the world stopped their quantitative easing programs.
"If we think that liquidity is poor now, it will be even worse two, three, four, five years from now when these maneuvers typically stop," he said.
"You would think that a central banker wouldn't stop if they know that it would produce a crisis type of moment and lots of volatility but central banks don't exactly know the way home."
Europe, Japan and China have all cut interest rates in an effort to boost their economies. The Federal Reserve has said it will begin raising rates once it is confident in the improvement of economic data.