Bill Gross: This is one of my best ideas

Don't fight the Fed...but be very afraid: Bill Gross
Don't fight the Fed...but be very afraid: Bill Gross
The hardest part about investing: Janus Capital Group CEO
The hardest part about investing: Janus Capital Group CEO
Janus says 'beginning of uptrend' in Europe
Janus says 'beginning of uptrend' in Europe

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."

Read MoreInvestor Bill Gross: Bet against bunds 'well-timed, not well-executed'

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.

Bill Gross
Kevin Flynn | CNBC

"Theoretically they won't stop unless they think the economy has normalized. The problem being that the normalization may happen at a point in which inflation is not 1 percent but 2 or 3 or 4 and therefore bond assets and stock prices might be heading lower."

Read MoreCashin: Fed could cause spontaneous combustion in bond markets

Gross also saw an agenda in recent remarks by Fed Vice Chairman Stanley Fischer and European Central Bank President Mario Draghi when they warned investors to watch out for volatility, because the central banks have been trying to dampen volatility for the past five years.

"To me that was a signal. To me that basically said they want longer-term rates to go higher," he said. "Why would they want that? Because insurance companies in Europe, insurance companies in the United States, pension funds and so on are suffering with 2 to 3 percent long-term yields. They need higher yields."

Bubble risk?

The intervention by the central banks may also have another effect—creating a bubble, Janus Capital Group CEO Dick Weil told "Power Lunch" Wednesday.

While the global economy is stronger than people imagine, it is propped up by the central banks, he noted.

"We're not sure where all this money is flowing and which artificial pricing is worst and is going to pop like a bubble," said Weil.

"When times are more risky, such as now potentially with a lot of central bank intervention, there's more risk of asset bubbles bursting. So you need to maintain a position that is secure enough, that is safe enough, that you don't hit that panic button."

In other words, investors should make sure their portfolios can withstand some volatility.

—CNBC's Stefanie Kratter contributed to this report.