Properties

Wool is simultaneously water-repellent and moisture-wicking, almost like a natural membrane. This may seem counterintuitive but think of the sheep. It does not want to get too wet from any source, consequently the wool keeps liquid moisture at bay but allows sweat to move away from the skin a water vapour.
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The chemical structure of wool offers storage space to vaporized water molecules up to a third of its weight and releases heat in the process leaving you with a dry skin feel and aiding evaporation.
.The same mechanism also lets your wool clothing stay fresh longer by locking away most bacteria prone to producing undesirable odours and only releases them upon washing.
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These unique properties rooted in the natural molecular makeup of wool fibres are impossible to achieve with synthetic fibres.
 
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Woolmark offers extensive background information around wool such as this graph, if you are interested find more here.