Stocks retreated Friday to cap a brutal month as Wall Street digested a fresh read on the Federal Reserve's preferred inflation gauge that could feed into interest rate expectations.

The S&P 500 (^GSPC) reversed below the flatline Friday afternoon, finishing 0.3% lower. The Dow Jones Industrial Average (^DJI) also lost grip of earlier gains to trade 0.5% lower. The tech-heavy Nasdaq Composite (^IXIC) struggled to hold on to an advance, finishing up just 0.1% for the day.

The moves Friday were part of sharp losses for the month and quarter as a brutal September came to a close. The major indexes saw drops of between 3% and 5% for the month, battered by surging oil prices and fears the Fed's higher-for-longer rates strategy means another hike this year.

Firmly in focus Friday was the release of the Personal Consumption Expenditures (PCE) index, the Fed's preferred inflation indicator. The August data showed that "core" PCE — which strips out food and energy — rose 3.9% on the year, the lowest in almost three years and down from 4.2% in July. A cooling might dampen expectations the Fed will hike in November.

Read more: What the Fed rate-hike pause means for bank accounts, CDs, loans, and credit cards

Bonds also saw some relief from those pressures on Friday, after comments from Fed officials helped soothe rate jitters. The yield on 10-year Treasuries (^TNX) fell after hitting levels not seen in over 15 years. But while the 30-year Treasury yield (^TYX) retreated, it's still on track for its biggest jump since 2009 — stoking anxiety about the impact of the bond rout.

Also still weighing on minds is the looming US government shutdown, with its promise of significant harm to the economy and stock market. It's looking all but inevitable that lawmakers will miss the midnight Saturday deadline to avert it — especially given the lack of a clear sticking point that's seen it be called the "Seinfeld" shutdown.

In individual stocks, shares of Nike (NKE) put on over 6% after the retailer reported first quarter profit that topped estimates and stressed its confidence in Chinese demand.

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