We extend the burgeoning literature on climate finance by examining the informational role of mutual fund sustainability ratings on the asset allocation decisions by investors when faced with climate risks. Utilizing data on a large sample of equity mutual funds in Australasia (Australia and New Zealand), we find that climate risk plays a significant role on the sensitivity of fund flows to past performance. We find that the sensitivity is stronger for mutual funds that enjoy high sustainability ratings, and we show that the informational value of past performance over subsequent fund flows becomes more important when investors face greater climate risks. We argue that sustainability ratings of managed funds not only complement performance but also help improve the efficiency of asset allocation decisions, more so during a heightened climate risk environment.