We propose a benchmark of several objective functions for large-scale image classification: we compare the one vs-rest, multiclass, ranking and weighted average ranking SVMs. Using stochastic gradient descent optimization, we can scale the learning to millions of images and thousands of classes. Our experimental evaluation shows that ranking based algorithms do not outperform a one-vs-rest strategy and that the gap between the different algorithms reduces in case of high-dimensional data. We also show that for one-vs-rest, learning through cross-validation the optimal degree of imbalance between the positive and the negative samples can have a significant impact. Furthermore, early stopping can be used as an effective regularization strategy when training with stochastic gradient algorithms. Following these good practices, we were able to improve the state-of-the-art on a large subset of 10K classes and 9M of images of ImageNet from 16.7% accuracy to 19.1%.