I think this is the data you're looking for [1]. It actually runs somewhat counter to the parent comment's assertion. On average, wealthier people move to CA because they can afford to live here while poorer people leave because they can't afford to live here. However, you'd have to do some additional lookups based on the median incomes of where emigrants are moving to in order to draw a conclusion about whether they are better or worse off than the local population of their destination.

[1] https://lao.ca.gov/LAOEconTax/Article/Detail/265