Conservation spending in California, USA exceeds conservation expenditures in many countries. To date, there has been no objective method to assess the efficiency of such spending for achieving species conservation outcomes. We conducted the first such retrospective analysis of conservation spending, examining the distribution of $2.8 billion spent on land protection by the state of California and partners from 1990 to 2006. Using a return on investment algorithm with species protection as the sole objective, we describe a “cost-efficient” funding scenario that would have protected four times more distinct species and three times more threatened and endangered species compared to the observed allocation. Differences between the species-diversity spending and the observed spending patterns reflect the myriad funding objectives, beyond protecting species, of the state. Identifying cost-effective conservation strategies are essential given the need to maintain species diversity in the face of global change.