Common usage would use the form with the possessive. But, in theory, both could be correct, depending on what's being expressed.
Nouns can also be used attributively—and, in some cases, it makes more sense.
Compare the following:
That is a Gucci handbag.
That is Gucci's handbag.
That is a Venus de Milo original.
That is Venus de Milo's original.
In both of the above, it makes more sense for the name of the person to be used adjectivally in order to classify something as a particular type of thing rather than to use the possessive. (Only if the specific thing in question actually was owned by the person would the possessive make sense.)
So, both Sir Alex Ferguson advice and Sir Alex Ferguson's advice are syntactically sound—and grammatical in the sense of forming a sentence along common guidance of how to form sentences.
However, they mean different things:
Sir Alex Ferguson advice: this is the kind of advice that Sir Alex Ferguson would have been inclined to give, assuming he were to give advice. A reinterpretation of this non-possessive form would be Sir Alex Ferguson–type advice.
Sir Alex Ferguson's advice: this is a piece of advice that Sir Alex Ferguson actually did give.
In the case of this news story, it seems that Sir Alex Ferguson, in 2008/2009 gave actual advice to not trade Cristiano Ronaldo to Real Madrid because they shouldn't "get into a contract with that mob." The headline of the article is saying that this singular piece of advice should continue to be followed—even if the particular player under consideration is different.
As such, the possessive form is more appropriate in this case. (Although the non-possessive form could be more appropriate in other contexts—such as if it were a team other than Real Madrid, a team that Sir Alex Ferguson never actually referred to.)