Most blog comments won't allow you to leave a custom anchor. If the blog/forum is niche specific.
Guest posts or press releases are the ones which will allow you to leave ANCHOR backlinks.
Forums and blog comments are not supposed to have KW rich anchor texts going to your website anyway, it's not natural. I have been doing client SEO for 5 years and for me what works best is to use a specific type of anchor text for a specific type of link that is natural.
Forum Links --->Naked Anchors
Guest Posts --->Contextual KW rich or Generic or Naked (Author bio)
Also remember that Google also takes into account any KW's that are in the URL of the page that you have your link from, even if it has a naked anchor.