Sigma is usually used to represent the standard deviation.
+4 sigma would mean four standard deviations from the mean. So in this case he is saying his talent is higher than 99.9966% of people.
So in this case he is saying his talent is higher than 99.9966% of people.
+4 sigma for certain things, not overall. It's not even possible to measure "+4 sigma overall intelligence" and if it were, I doubt I'd be the one who has it. But there are certain subdisciplines where I'm in that range.
I say "+4 sigma" because for the vast majority of companies I've observed, I could run them better, and they seem to at least think they have 2-3 sigma talent.
If we accept that the people who actually are in charge are +2 to +3 sigma minds, then I'm easily +5 based on the difference between me and them. If we assume they're idiots, then it'd be generous to give me +3. The reality is probably between the two.
http://en.wikipedia.org/wiki/Standard_deviation