Air carrier Captain reported the compass malfunctioned during the takeoff roll on LGA Runway 4. After the First Officer ran the QRH; the compass worked properly for the remainder of the flight.

Narrative

I operated flight LGA - ZZZ. During the takeoff roll on Runway 4; I received an Electronic Flight Instrument System (EFIS) COMP MON caution message with an amber heading flag on my compass at approximately 80 kt. I noticed my compass showed roughly 060° when it should have showed 040°. I continued the takeoff and made a left turn to 360° per the SID. I was trying to fly by the standby compass. I called for the QRH for EFIS COMP MON. At this time; ATC queried us about our heading asking if we were on a 360° heading. The FO said our compass is showing 360° but we were having issues. ATC told us we looked to be flying a 340° and told us to turn 20° right. ATC said that we were not affecting any other traffic. ATC then told us to proceed direct ZZZZZ. After the FO ran the QRH; the compass worked properly the rest of the flight.The FO mentioned this has happened before on Runway 4. It may be an area of known magnetic anomalies and therefore may need to be in a specific mode for takeoff like the rest of the runways in LGA.