What does a negative R² (-0.11) with low correlation (0.09) but positive Sharpe (0.8) indicate?

Question

MLQuiz · Accepted Answer

From 3rd-place solution: R² negative = worse than predicting mean. Correlation 0.09 = barely moves together. But Sharpe 0.8 = directional consistency wins. In noisy markets, 'being right directionally most of the time' beats 'predicting exact magnitude poorly.'