The aim of this work is to study the diversification of SME performance in Algeria by sector of activity. An empirical investigation attempts to offer operational evidence in this direction, focusing on the sectors; "Manufacturing Industries", "Building and Public Works", and "Import-Export" of a group composed of 80 SMEs in the city of Oran, for the period [2008-2012]. However, the results of a C.P.A. clearly show that these companies have the same characteristics within a given sector, as they are subject to the same institutional obstacles and environmental problems, thus limiting the promotion of their performance levels.