Best place to invest in real estate? Dubai

London and New York may be the favorite two cities of the global wealthy. But when it comes to investment returns since 2010, Dubai was your best bet.

A new study from Douglas Elliman and Knight Frank looked at the return on $1 million invested in prime residential property in 2010 through the second quarter of 2014.

If you bought $1 million in real estate in New York in 2010, it would be worth about $1.22 million today. In London, it would be worth about $1.54 million. In Miami, it would be worth $1.26 million, and in Hong Kong, it would be worth $1.16 million.

Jumeirah Palm Island Development In Dubai.
Haider Yousuf | Herrara | Getty Images
Jumeirah Palm Island Development In Dubai.

The winner was Dubai, with $1.63 million. Dubai also leads the list of major luxury cities when it comes to price growth over the past two years and three years, with prices up 29 percent and 71 percent respectively.

Read MoreTop cities for millionaire second homes

That doesn't mean, however, that Dubai will retain its lead. In the most recent year, prices for high-end real estate in Dubai are up only 6 percent, while they're up 18 percent in New York and 8 percent in London.

In fact, the report said that London and New York are becoming the "twin cities" for the global wealthy, with prices moving more in line with each other and the global wealthy than their respective national markets.

Read MoreFlorida mansion listed at $139M

The study showed that prime housing markets in London and New York have 90.5 correlation (with 100 being perfect correlation). That's higher than the correlation between the prime London market and the rest of the U.K. It's also higher than the correlation between the prime Manhattan market and the U.S.

Jonathan Miller, of Miller Samuel, which contributed to the study, said that he expects the price gains in New York's high-end market to continue at least for the near term.

"With chronically low inventory levels, unyielding interest from foreign investors and an improving economy, I fully expect additional price increases over the next six quarters," he said.

Read MoreFor $99,000 a week, this London rental is yours

London's outlook is a little less bright, due to the huge and unsustainable run-up in prices over the past few years. The report expects prices to grow only around 2 percent or 3 percent this year and to be flat in 2015.

"Prices in London are high by historical standards, and there is less scope for strong growth over the next few years," said Tom Bill, head of London residential research at Knight Frank.

That slower growth may be one reason why New York expected to surpass London in the coming years as the favorite city of the rich. According to Knight Frank's survey, New York will be the top city among the global wealthy by 2024, displacing London as the current leader.

—By CNBC's Robert Frank.