Hello,
 
there are a few sources relating the pros and cons of using a shield over the loop antenna.
 
However, some time ago I found an original way to shield a ferrite loop, it was made by PA2OHH Onno for his Navtex (518KHz) receiver: http://home.hetnet.nl/~pa2ohh/07fer.htm
 
Onno used a flat, multi-wire cable (like those used with hard-disks) to build the shield.
 
Perhaps one can make a try in an ultra-light or not-so-light receiver :)
 
73,
 
Huelbe.

John B.
Stillwater, Oklahoma, USA
Rcvrs: WiNRADiO 313e, Eton e1, NRD-535(kiwa-mods)
Antennas: 700' NE/SW mini-Bev, Wellbrook Phased Array (pre-production version)