We report modal phase matched (MPM) second harmonic generation (SHG) in high-index contrast AlGaAs sub-micron ridge waveguides, by way of sub-mW continuous wave powers at telecommunication wavelengths. We achieve an experimental normalized conversion efficiency of ~14%/W/cm2, obtained through a careful sub-wavelength design supporting both the phase matching requirement and a significant overlap efficiency. Furthermore, the weak anomalous dispersion, robust fabrication technology and possible geometrical and thermal tuning of the device functionality enable a fully integrated multi-functional chip for several critical areas in telecommunications, including wavelength (time) division multiplexing and quantum entanglement.