A compass gives you an orientation (it tells you where north is).
GPS could give you absolute coordinates - if you don't mind that this is typically around 3 meters off, and in the city the signal may start bouncing due to reflections and can be 50-200 meters off, and indoors it doesn't work, and under thick clouds your accuracy goes down to 5-10 meters, and under the trees it may not work well.
The good news though is that you don't care about the actual coordinates of the robot nor of the master. You only care about where the robot is relative to the master.
An IR beacon may give you direction (if you use something like a radar-like scanner on the robot) but no distance and it requires line of sight. You do risk the robot following a reflective wall rather than its master.
Bluetooth doesn't require line of sight but probably less directional sensitive and may be blocked by walls or so. Still no distance.
Anyway - do start reading a bit more about following robots, and soon you'll understand why those things are still not available commercially. But then, you may succeed where no-one else did.