What scares hedge fund managers the most? It’s not redemptions or poor returns, according to a new survey.

It’s Uncle Sam.

And John Bull. And Marianne. And whoever the personification of the European Union is. And most especially, it’s the regulators of all of those countries.

Nearly two in five hedge fund managers believe that “onerous government regulation” is the single biggest threat to the hedge fund industry, according to a survey from RSM McGladrey. An even larger proportion of the 102 hedge fund managers and executives polled by the consultancy, 43%, don’t think any changes to the regulatory regime are necessary.

Almost as many, 37%, favor increased regulation of hedge funds, while 18% are pining for the apparently impossible: less regulation. Half of those polled said the Securities and Exchange Commission has enough authority and simple needs more funding, while 42% said it should get more power. And more than one in five say the best thing the government can do to improve the economy is get out of the way.

No other issue concerns hedge fund managers as does regulation. Only 16% said a lack of willing investors was their biggest fear, and no other matter even received 10% of the vote. Answering separate questions, only 21% of hedge fund managers called redemptions a “major concern,” and only 8% cited liquidity concerns.

RSM McGladrey also asked hedge fund managers how they feel the current regulatory agencies are doing. The Federal Reserve, set to get a range of new powers under President Barack Obama’s planned regulatory overhaul, got the highest marks, with a 78% job approval. Fed chief Ben Bernanke enjoys a 75% approval rating, and President Obama 61%. The Federal Deposit Insurance Corp. earned the same marks, while the Treasury Dept. earned a 61% approval rating.

Unsurprisingly, the embattled SEC did not fare so well. Only 26% of those polled approved of the job the agency does.

Despite their fears, hedge funds don’t plan to change the way they do business all that much. Nearly nine in 10 of those polled say they don’t plan to revise their incentive fee structure to hold onto talent, and more than eight in 10 say they don’t plan to seek lockups from new investors. And 61% say the current economic environment actually presents more opportunities than it does challenges, with a similar number expecting the economy to return to positive growth next year.