BlackRock, which has nearly $US7 trillion in funds under management, revealed the policy shift in letters published on its website.
It follows activist pressure on BlackRock as a major shareholder of fossil fuel companies.
In his annual letter to the bosses of the companies BlackRock invests in, chief executive Larry Fink said climate change has become a factor in companies' long-term prospects.
"I believe we are on the edge of a fundamental reshaping of finance," Mr Fink wrote.
Mr Fink said BlackRock will require companies to improve their financial disclosure to shareholders in relation to climate risks and sustainability.
"In the absence of robust disclosures, investors, including BlackRock, will increasingly conclude that companies are not adequately managing risk," he wrote.
The majority of BlackRock's funds under management are invested in passive products, such as index-tracking funds.
The $US1.8 trillion in assets it actively manages will no longer be invested in companies that generate more than 25 per cent of their revenue from thermal coal production.
BlackRock's alternative investments business will make no new direct investments in companies that fall under the same criteria.