What are risks people are seeing with Widget links?
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This September, Matt Cutts announced a new crackdown on widget links. But they clearly still work so it's a matter of scale and usage in IMO.
Years ago I started recommending changing links within widgets to use branded anchor text instead of keyword rich anchor text so as not to create an unusual amount of keyword focused anchor text. It's also clearly more natural. So far this has been working very well.
The new warning is concerning and I recognize the "best practice" according to Google would be to no-follow these links, but I'm not quite ready to do this unless a risk of unrecoverable penalty is apparent.
My thoughts are it's a matter of scale. If there are tens of thousands of widget links and they dominate the link profile that would be a serious matter. If there are only thousands of widget links and they are a small part of the total link profile it is much less of a concern.
Does anyone have any direct experience with getting warnings on this matter?
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If I was you I wouldn't take the risk, i have had a few clients have this as an issue in the past. As I don't know your link profile I can't say for sure but a good link profile should be made up of all different types of links.
The risk here is these links are not earned in googles eyes or in some cases other websites don't know they are giving the link back to you.
I always work off the idea that if I feel like there is a risk it's not Worth it. You might get away with it from a algorithm point of view but you just need a manual review to happen and it's going to be a lot harder.
Wish you the best of luck with it.