HE-111 has extremely good range ( best range for a non perked buff, at the expense of your payload) , and that's about all it has going for it.
It's defensive armament is weak where it matters consisting mostly of 7.92mm machine guns. There is the option to add a couple of MGFF 20mms, one in the nose and another forward facing in the ventral gondola, however the guns ballistic properties and rate of fire are poor. Taking the 20mm package might protect you from attacks coming from your low 8 to 2 O'clock area, but you are very vulnerable from every other angle.
The HE-111 is not very rugged either, it is prone to catching fire and its large wings don't soak up damage all to well. This means it is not ideal for low level attacks as most Anti-Aircraft defenses will make quick work of them.
It carries a little less than a B-17 in terms of Ordnance.
It's climb rate and top speed are on par with most Heavy bombers, maybe even worse, any late war fighter will have an easy time running them down.
If your going to be taking HE111s out, don't expect to be coming back in anything other than a body bag, that is unless you bring sufficient escort. If you are caught without fighter escort, your best bet is to try and sucker the enemy into approaching from either your High, or Dead 6 O'clock. If it looks like he's setting himself up for smart attacks, try to throw him off by maneuvering out of his guns. Be carful not to lose the rest of your formation though. Its likely that they'll become frustrated and saddle up on your tail, which would allow you the best firing angle. Its recommended you don't shoot until your opponent is at most 400 out, and when you do aim for the canopy, the 7.92mm is a small round, but the guns can put a lot down range and a PW or pilot kill is very possible.
Fighting against the HE111 is pretty simple, Don't sit on his 6'oclock, but even then you can probably get away with it.

Still made it to target though
