The answer to your simple question was easy while running the earlier MacOS X versions, with iPhoto and Aperture on MacOS X 10.10. or earlier - the shared albums were stored in your user library in a subfolder of ~/Library/Application Support/iLifeAssetManagement/assets/,
but since I upgraded to El Capitan and iCloud Photo Library with Photos for Mac, I cannot find them anywhere outside the Photos Library when browsing through the library folder. They seem to have been moved.
With FindAnyFile I managed to track down some of my Shared albums in this folder - a cached folder in the sandbox; it cannot be the long term storage for the shared albums, but all photos from the shared albums are duplicated there:
~/Library/Containers/com.apple.cloudphotosd/Data/Library/Application Support/com.apple.cloudphotosd/services/com.apple.photo.icloud.sharedstreams/as sets/