Something like this maybe?

CREATE TABLE #Sales

(

ClientID int,

SaleDate date

);

INSERT INTO #Sales (ClientID, SaleDate)VALUES (1, '20120131');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (2, '20120131');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (3, '20120131');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (4, '20120131');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (1, '20120229');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (2, '20120229');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (4, '20120229');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (5, '20120229');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (1, '20120331');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (2, '20120331');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (5, '20120331');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (6, '20120331');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (1, '20120430');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (6, '20120430');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (7, '20120430');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (1, '20120531');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (5, '20120531');

INSERT INTO #Sales (ClientID, SaleDate)VALUES (7, '20120531');

--SELECT * FROM #Sales;

declare @StartDate date = '20120101',

@EndDate date = '20120630';

WITH SalesActivity as (

SELECT

CASE WHEN s2.ClientID IS NULL

THEN 'NewClient'

ELSE 'LostClient'

END AS ClientAction,

RIGHT(CONVERT(VARCHAR, ISNULL(s1.SaleDate, DATEADD(M,1,s2.SaleDate)), 106), 8) AS SaleDate,

ISNULL(s1.ClientID, s2.ClientID) AS ClientID,

ISNULL(s1.SaleDate, DATEADD(M,1,s2.SaleDate)) SalesDate

FROM

#Sales s1

FULL JOIN #Sales s2

ON s1.ClientID = s2.ClientID

AND MONTH(s1.SaleDate) = MONTH(s2.SaleDate) + 1

WHERE

s1.ClientID IS NULL

OR s2.ClientID IS NULL

)

SELECT

ClientAction,

SaleDate,

ClientID

FROM

SalesActivity

WHERE

SalesDate between dateadd(mm,1,@StartDate) and dateadd(mm,datediff(mm,0,@EndDate),-1)

ORDER BY

SalesDate,

ClientID;

GO

DROP TABLE #Sales

go