Shortcode inserted after the page content gets displayed before it

I have a strange problem and can not find the solution to resolve it…

I have made a custom shortcode (simple, nothing special)…
I inserted the shortcode like [my-shortcode] after the content of the page like this:

#####

some page content ….

[my-shortcode]

#####

The problem is that when the page content is displayed, wordpress displayes the shortcode content first like this:

#####

my short code content

some page content…

#####

Am I doing something wrong or is this a bug?

Thanks!