Ultra Watch and iPhone 14 Pro Max Compass Not Match and Not Accurate

I just bought the Ultra watch. Upon learning on how to use waypoint, I notice that its compass is pointing in the odd direction for North. So, I pulled out my iPhone 14 Pro Max hoping that it would confirm my suspicion, its North is also pointing a different direction. To make matter worse, the Ultra watch's North is not the same as the iPhone 14 Pro Max's North.

Is there a way to celebrate the compasses of these devices?

Thanks!