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Each time I start a game of CM/FM the only real problem I have is the number of different countries I select in my game. The actual team I will manage is usually known beforehand, having been selected by paper out of hat, or by Franks words of wisdom.
From there I usually "build" the countries around the team selected, working on an minimum of countries bordering my selcted team. From there I also pick a couple of old favorites (Italy/Spain) where I can run "home" to if I don't enjoy my new experience.
All looks dandy on paper, so why do I always have great difficulty selecting anything less than every league from Belfast all the way to the steppes of the Ural Moutains, and then watching the save tick along at an ever desceasing rate.
I like the game fast, so I only select the Home nations plus some view onlies. Works great so far. I probably won't manage in another country anyway, I rarely do.
I've selected a lot of leagues and I'm pretty happy with the speed my game's chugging along at. It slows down during the transfer windows, sure, but then I'm usually scrabbling around for players during those short months anyway, so it's not the biggest problem in the world.
I prefer the immersive-ness (?) of having players from all around the world in my game, so I'm happy sacrificing a speedy game for the fact that the Northern Mariana Islands have a player in their national squad. Plus, it's nice having another league to jump to should the wish arise, without having to start afresh.