It's a common 'gotcha' in makefiles. Each command is executed in its own shell, so "cd" only happens within that shell, but subsequent command is run again from make's current directory.
What you want to do is to either put all commands on one line (and you don't need "cd .."):
cd data && latex report.tex
or use \
at the end of the line to tell make to concatenate the lines and pass them all to the shell. Note that you still need ;
or &&
to separate commands.
cd data && \
latex report.tex