Shortcode wrap for another shortcode for use within a format

<?php
/*
This is an example of how you can wrap a shortcode with another shortcode, so you can use it on a formatting setting within Events Manager, since you can't include formats within a shortcode within a format as the higher format level parses everything first.

For instructions on how/where to use this code, see here - http://wp-events-plugin.com/tutorials/how-to-safely-add-php-code-to-wordpress/
*/
function my_em_get_categories_shortcode_wrap(){
    return do_shortcode('<ul>[categories_list hide_empty=0]<li>#_CATEGORYLINK</li>[/categories_list]</ul>');
}
add_shortcode ( 'categories_list_wrap', 'my_em_get_categories_shortcode_wrap' );