Mohamed El-Erian, chief economic advisor at Allianz, said on CNBC's "Fast Money" on Wednesday that he's a little worried about the massive rally in U.S. equities.

As of Wednesday's close, the Dow Jones industrial average has surged more than 8 percent.

The market was already at pretty lofty valuations, El-Erian said, adding that he's also worried that central banks may be "stepping back." In the current stage of the rally, El-Erian said his approach is to take off some risk overall, but "take advantage of some internal rotation."

El-Erian said that the rally has been "textbook," starting with "a reaction at an asset class level to higher growth, higher inflation" expectations. Later on, there were "specific reactions to deregulation, to corporate tax reform," he said. Financials, for example, did "extremely well" in this situation.

What's left is what El-Erian said is the "catch-up," as lagging sectors and lagging markets start to participate.

"I think the big question and where a lot of money can be made — but is going to be incredibly bumpy — is in the emerging world. The emerging world has not shared in this rally. In fact, you're getting eye-popping valuations on things like the Mexican peso that really don't make much sense at the end of the day," he said.

On Wednesday, the Mexican currency hit a fresh all-time intraday low against the U.S. dollar of 22.032 amid comments from President-elect Donald Trump that fanned trade concerns.

Whether or not emerging markets participate will depend on pro-growth expectations taking a more concrete form, El-Erian said. He added that for this to be true, the Republican Congress will need to work well with Trump and "you need the rest of the world to stay out of trouble."