# characteristics of factor portfolios

In the paper Characteristics of Factor Portfolios (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1601414), when it discusses pure factor portfolios, it says that simple style factor portfolios have zero exposure to all other style, country, and industry factors. Could someone help me understand the math for why the style factor portfolios have zero exposure to all other style, country, and industry factors?

So, for example, if we are interested in the return of a P/E factor and a P/B factor, we would gather the P/E and P/B for all of our stocks into a matrix of loadings $$B$$. $$B$$ would have two columns – one containing P/E and one containing P/B for all assets. We then regress $$R$$ (a vector containing the returns of all assets) on $$B$$. OLS regression gives us $$f= (B’B)^{-1} B’R$$ = the returns of the style factors for this particular period. The rows of $$(B’B)^{-1} B’$$ are considered to be the factor portfolios.
So, let’s go one step further and look at the loadings of the portfolio on the individual styles by multiplying the factor portfolios with the matrix of loadings. This gives $$(B’B)^{-1} B’B = I$$ - an identity matrix. Hence, the loadings of each factor portfolio are 1 against the particular style and 0 against any other style.