Answer: mostly to red states. CA has only gained residents from other blue states that are even worse than CA.
https://usafacts.org/articles/725000-people-left-california-in-2020-which-states-did-they-move-to/?utm_source=Outbrain&utm_medium=Display&utm_campaign=General&utm_content=LeavingCA_DesktopInterests&dicbo=v4-gqoARse-1078388034
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