loading many objects from one query

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One situation in which I think Class::DBI may be lacking is when you
need to access a large number of database entities, so many that you
can't afford to load them on demand.  I'd like to write a big query that
joins many tables, then use the results of the query to populate many
Class::DBI objects of various types, as well as all of the relationships
between them (so I never have to go back to the database to use these
objects).  For bonus points, it should also be possible to force
fetching the rows of this big query as needed, instead of all at once.

At a brief look, it seems non-trivial to add this to Class::DBI.  For
example, even if I could load and cache all the rows, the has_many
relationship always goes back to the database.  Has anyone tried what
I'm describing?  Class::DBI seems to be geared towards maximal laziness,
ie it's better to make many queries than to load more than you need.  So
my request seems to go against the grain.  Is it perhaps accepted that
for "high-volume" database access, one shouldn't use a layer like
Class::DBI?

Andrew