Every time I attend a big investing conference I try to pick my favorite idea from all the investments presented and share it with the Irregulars.

As usual, it’s been a bit difficult to narrow down all of the ideas presented at the Value Investing Congress and choose a single one to present to you today as my “Idea of the Month” pick — though this time, the challenge is not just that there were many good ideas and that the stocks have tended to move up a few percent following the Congress attention and the upward move in the market, but that even most “value” stocks are not all that cheap on the surface right now. The market has moved up so far and so fast, and in many ways it has done so en masse — when all stocks are going up, the likelihood that enticing ideas will remain hidden shrinks. Better to have bull markets driven by just one or a few sectors if you’re on the search for inexpensive anomalies, but over the past year or two we’ve just been driven by financial liquidity and low interest rates — the vast majority of stocks have been going up.

Which makes you think, perhaps, that the value investor’s most valuable tool right now might be shorting — and we did have some talk about stocks to short at the Congress, with the most compelling being Whitney Tilson’s evisceration of K12 (LRN) and a strong second place going to the allegations of fraud and FTC violations at LifeLock (LOCK) from one of the winners of the Value Investing Challenge. But I’m not going to tell you to short stocks — I’m not particularly good at it, it’s hard to do well (particularly psychologically, for most investors), and stocks can be irrationally priced at high valuations for far longer than you might think (Tilson, in particular, said that he’s rarely seen a market so ripe with overextended stocks that are terrible companies and prime short candidates … but he also said it’s been painful because he’s lost a ton of money on most of his shorts).

So which ideas stood out as most compelling for me? Well, there were a few …

I found Jeff Ubben’s analysis of Willis Holdings (WSH), the insurance and reinsurance brokerage, to be very compelling as an argument that the ...