Alumide is a new 3D printing material that contains aluminium dust. It is mechanically stiffer, but little is said about its conductivity and electromagnetic shielding properties. There is probably not enough of the aluminium dust in it to make it a good electric conductor. From the other side, ferrite looks somewhat the same, even if aluminium is not magnetic. Let's assume there are aluminium particles suspended in nylon. Would it have any effect on electromagnetic shielding?
Any shielding properties it may have will be due to its conductivity. Obviously this could provide a certain level of electric field shielding, and via the creation of eddy currents it can also provide a degree of AC magnetic shielding, or perhaps one should say attenuation.
Metal-loaded pastes are used in conductive applications, such as heatsink compounds and even cold PCB track repair, but their conductivity is limited. A high-nylon formula would be insulating under normal conditions (see below).
However, unless and until the consistency of the material properties from one printed item to another (grain sizes and relative proportions of aluminium and nylon, bonding consistency, effects of temperature and speed of printing, etc.) is established, meaningful tests can only be made on individual finished items.
[Update] This datasheet (linked in a comment to the main question) gives the surface resistance as 3 x 1012 ohms. Presumably that means 3 x 1012 ohm-metres. Similarly with the volume resistance. That is pretty much an insulator. It has a modest dielectric constant, but given its resistivity that means little. But no tolerances are given, which renders the stats pretty useless. It will not be a good insulator against high voltages though; it is stuffed with metal and the breakdown field strength is not quoted. All one can really say is that it must be a relatively high-nylon formula and is not in any way a shielding material.