Why this sector could be a big risk to the rally

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Here's the biggest risk to stocks

Financial stocks have begun to underperform the , and some say that could be a big risk to the broader market rally.

"The reality is that financials, which are the biggest part of the market in many ways, and the second-biggest weight—they don't act well," Oppenheimer's chief market technician, Carter Worth, said. The sector "has been underperforming for five months, and that's a problem."

While the S&P 500 has risen 7.6 percent in the past five months, the SPDR Financial ETF (XLF) has only risen 3.8 percent. And even as the market continues to make all-time highs, key financial stocks like JPMorgan, Bank of America and Berkshire Hathaway haven't made fresh 52-week highs since July.

So are the financials predicting a turnover for the market as a whole?