Hyperlinking text within a text caption isn't quite as straight forward. After adding text to a caption, there isn't an Action tab on the inspector (therefore, no apparent way to create a hyperlink).
There is a way to accomplish the task, however. From within the caption, select the text you'd like to be clickable (you have to highlight the text, not just select the caption) and then, on the Properties Inspector, Character area, locate and click the Insert HyperLink icon.
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