The expensive end seems to be split between:
- Places where you basically have to build your own personal infrastructure, so it costs a fortune despite low inherent prices.
- Places that have great infrastructure that you pay for through the high inherent prices.
So much also depends on lifestyle. Is London really cheaper than Zurich? You can eat out cheaper in London, but also much more expensive. Same for cultural stuff like cinema, shows etc.
London prices in these surveys tend to get depressed by poorer areas, where frankly nobody reading a Mercer report would live - Zurich doesn't have anything like as much of this, and the (slightly) cheaper lakeside towns aren't included.