There are some problems in being invested 100% in real return bonds, or bonds. The first problem is that there are probably not enough of these bonds available right now. If you were to sum up all the pension assets actually being managed in Canada, you would be somewhere in the vicinity of $1.5 trillion. The real return bond market in Canada is only worth $35 billion, so we're talking a multiplier of 60 times. In other words, the amount of money to be managed in Canada by pension plans outside of RRSPs is 45 times bigger than the available real return bonds.
On April 23rd, 2009. See this statement in context.