In the bowl of a stand mixer, add in the following order: water, milk, egg, yeast, sugar, butter, flour, and salt. Mix on low speed with the dough hook for 5 minutes until the dough comes together in a shaggy mass, scraping down the bowl as needed.
Continue to knead on medium for 15 more minutes. Do the windowpane test: take a piece of dough about the size of a golf ball and stretch it out between your fingers and thumbs. If you can stretch it without the dough breaking, you’re good to go. The dough will be very soft and tacky - try to resist adding flour. With floured hands, shape into a ball and transfer to a clean lightly floured bowl and cover with plastic wrap.
Let proof in a bowl until tripled in size, about 1 hour.
Take the dough and tip it out onto a lightly floured surface. Punch down lightly then divide into 3 equal portions. Take one ball of dough and lightly roll out into an oval.
Bring the two sides of the oval towards the middle.
Then roll it up.
Repeat with the remaining two portions of dough. Place the three rolls in a loaf pan (I used a non-stick pan, lightly oil or butter your pan if it isn’t non-stick), cover (I put a large bowl overtop the whole pan) and let proof until doubled, about 40 minutes to 1 hour.
Heat the oven to 355°F after the dough has been proofing for 30 minutes.
Bake for 20-25 minutes or until the bread is golden and cooked through - if you use a thermometer it should be 189°F. If the tops start to brown too much, lightly cover with a piece of foil. Brush with cream or butter if you want a shiny top. Remove from the pan immediately and cool completely on a wire rack. Slice and enjoy!