We develop a top-down pathway integrating sustainable investment into strategic asset allocation for long-term investors. We study the impact of climate change on a large universe of asset classes including stocks, bonds, alternatives and emerging low-carbon financial vehicles. We find low-carbon assets are resilient to temperature change. In contrast, most traditional assets have a negative relation with the risk of warming. We introduce optimistic and pessimistic climate scenarios when constructing the optimal portfolios. The optimistic scenario is implied by the VAR estimates; and the pessimistic scenario is based on the Dynamic Integrated model of Climate and the Economy (DICE). We find a substantial shift towards low-carbon assets in the pessimistic scenario, indicating that when investors are aware of the impact of climate change along the investment horizon, they will find sustainable investment an optimal strategy.