As U.S. retail sales slumped last year, Harley-Davidson reported its first annual earnings decline in 14 years. But Calvert Group, a $15 billion socially responsible mutual fund manager holding 2,901 Harley shares, saw a potentially greater risk to the U.S.’s biggest motorcycle maker: climate change.

Over the past two years, Harley-Davidson declined to respond to questionnaires from the Carbon Disclosure Project, a coalition of investors, including Calvert, that aims to improve corporate disclosures about carbon emissions. So Bethesda, Maryland–based Calvert submitted a proxy resolution in November calling on the company to disclose its greenhouse emissions and to assess the risks to its business — both physical and regulatory — from climate change. After talks with Calvert, Harley agreed to issue a report by this November....