Continuous space word embeddings have received a great deal of attention in the natural language processing and machine learning communities for their ability to model term similarity and other relationships. We study the use of term relatedness in the context of query expansion for information retrieval. We demonstrate that word embeddings such as word2vec and GloVe, when trained globally, underperform corpus and query specific embeddings for retrieval tasks. These results suggest that other tasks benefiting from global embeddings may also benefit from local embeddings.