I got this question recently in meet of link builders held in our city. Either we should use capital letter or small letter or the first character of each word with capital letter in keyword phrase. I found there is some clue in it. I think search engine understand the links differently to small extent with the small or capital letter. Let us see the example how the “search engine optimization” can be used in anchor text
Search Engine Optimization
search engine optimization
Search engine optimization
SEARCH ENGINE OPTIMIZATION
I search all the above keyword written in different style and found there is minor change in number of results Google presents. With the numbers of different results in Google search for each keyword it is true that search engine takes them separately to some small extent. “SEARCH ENGINE OPTIMIZATION” we can consider some body is strongly recommending it. “Search Engine Optimization” can be understood as specially mentioned keyword by search engines
If the anchor text is in small letter it is natural and organic in my view. If you look for contextual links you will find all link are within the text and are on small letter written keywords
In my opinion we should use the mix of all to make our link building strategy or campaign as organic and natural.